Macroeconomic Uncertainty and Stock Returns: Evidence from the Chinese Stock Market

GE Ying-fan

Volume 39 Issue 2

Mar. 2024

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GE Ying-fan. Macroeconomic Uncertainty and Stock Returns: Evidence from the Chinese Stock Market[J]. Journal of Guangdong University of Finance & Economics, 2024, 39(2): 11-28.

Citation:

GE Ying-fan. Macroeconomic Uncertainty and Stock Returns: Evidence from the Chinese Stock Market[J]. Journal of Guangdong University of Finance & Economics, 2024, 39(2): 11-28.

GE Ying-fan. Macroeconomic Uncertainty and Stock Returns: Evidence from the Chinese Stock Market[J]. Journal of Guangdong University of Finance & Economics, 2024, 39(2): 11-28.

Citation:

GE Ying-fan. Macroeconomic Uncertainty and Stock Returns: Evidence from the Chinese Stock Market[J]. Journal of Guangdong University of Finance & Economics, 2024, 39(2): 11-28.

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Macroeconomic Uncertainty and Stock Returns: Evidence from the Chinese Stock Market

GE Ying-fan

School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China

Received Date: 2023-12-29
Available Online: 2024-04-11
Publish Date: 2024-03-28

Abstract

Abstract

Macrofundamental shocks are widely recognized as an important source of stock market volatility. However, there is a relative lack of research exploring their impact on stock excess returns in the Chinese market from the perspective of macroeconomic uncertainty. This paper utilizes multi-indicator data on China's macroeconomics and finance to construct an index of China's macroeconomic uncertainty from 2002 to 2022. It examines the impact of the uncertainty on the excess returns of A-share stocks. The empirical results show a significant negative premium for macroeconomic uncertainty exposure, i.e., stocks with negativemacroeconomic uncertainty betas have higher future excess returns. However, this premium varies for stocks of different equity nature, size, and industry, and is more pronounced in periods of economic downturn relative to periods of economic upturn, highlighting the heterogeneity and state-dependence of the macroeconomic uncertainty premium. This research has theoretical and practical value for understanding the impact of macroeconomic uncertainty on the stock market and constructing corresponding asset portfolios to cope with macro uncertainty shocks.
- macroeconomic uncertainty,
- stock returns,
- uncertainty premium,
- excessive rate of return,
- portfolio

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References(37)

References

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