Macroeconomic Variables And Component Of Chinese Stock Return

This paper is devoted to the research method of quantitative research on the impact of macro information on stock returns.For the relationship between macro information and stock returns,foreign scholars have done a lot of empirical tests and developed a complete set of empirical test methods.The relevant macro-data were screened and transformed according to the actual situation of China's macro-variables.In order to achieve more research results in line with China's national conditions.In this paper,we use the research results of Gregory Connor and Robert Korajczyk(1985)for reference in dealing with macro-variable panel set,the principle of no-arbitrage pricing in income measurement: a new analysis method.Based on the no-arbitrage pricing principle designed by Gregory Connor and Robert Korajczyk(1985),the regression analysis of macro-data panel set is carried out in order to meet the hypotheses of the model and the corresponding test criteria.This paper also carries on the regression analysis to the excess return of the stock,and adopts the same research method as the stock return.The results show that there is no significant correlation between China's macro data variables and China's stock return.There are two possible explanations for this result.First,we have errors in estimating and transforming variables,which leads to inaccurate regression analysis of variables.Secondly,another possibility is that there is no significant correlation between stock returns and the macro variables selected in this paper.In order to confirm this conclusion,more scholars with academic experience and academic strength are needed to conduct relevant research ? analysis.We also hope that the prediction of stock returns can be better applied in future fundamental analysis.