Publication Type
Journal Article
Version
acceptedVersion
Publication Date
4-2013
Abstract
In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China’s economy and stock market. Given the potential impact, we empirically examine whether US economic variables are leading indicators of the Chinese stock market. Prior to China joining the World Trade Organization (WTO) in the end of 2001, we find no statistical relationship between US economic variables and the Chinese stock market returns. However, we find US economic variables have statistically significant predictive power for periods after China's admission into the WTO. In addition, we show that the combination of US and China economic variables is more superior in terms of forecasting ability than either single country economic variables. These findings are of economic importance from an investment perspective.
Keywords
Chinese stock market, Return predictability, International investment
Discipline
Finance and Financial Management
Research Areas
Finance
Publication
Pacific-Basin Finance Journal
Volume
22
Issue
1
First Page
69
Last Page
87
ISSN
0927-538X
Identifier
10.1016/j.pacfin.2012.10.002
Publisher
Elsevier
Citation
GOH, Jeremy C.; JIANG, Fuwei; TU, Jun; and WANG, Yuchen.
Can US Economic Variables Predict Chinese Stock Market?. (2013). Pacific-Basin Finance Journal. 22, (1), 69-87.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3229
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.pacfin.2012.10.002