Journal article
Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces
International review of economics & finance, v 43
May 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper presents a model that links an emerging market's stock returns to domestic economic forces: changes in the dividend yield, trading volume, stock volatility, and illiquidity; and to global market forces: changes in the exchange rate, US market returns, and stress in the US market. Testing the data on aggregate market and 10 industrial sectors using an asymmetric PARCH procedure, we find evidence supporting a link to domestic forces. However, after adding changes in the exchange rate, US stock returns, and stress in the US market to the model, these global market forces overwhelmingly dominate the explanation of stock returns.
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Details
- Title
- Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces
- Creators
- Thomas C. Chiang - Drexel UniversityXiaoyu Chen - Shanghai Stock Exchange
- Publication Details
- International review of economics & finance, v 43
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000375632300008
- Scopus ID
- 2-s2.0-84948844360
- Other Identifier
- 991019167520104721
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- Collaboration types
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics