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Economic Policy Uncertainty in China and Stock Market Expected Returns

Chen, Jian - 2017

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...

Persistent link: https://www.econbiz.de/10012968808

Chinese Stock Market Volatility and the Role of U.S. Economic Variables

Chen, Jian - 2017

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility …

Persistent link: https://www.econbiz.de/10012969357

International Volatility Risk and Chinese Stock Return Predictability

Chen, Jian - 2017

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …

Persistent link: https://www.econbiz.de/10012972144

Chinese stock market volatility and the role of U.S. economic variables

Chen, Jian; Jiang, Fuwei; Li, Hongyi; Xu, Weidong - In: Pacific-Basin finance journal 39 (2016), pp. 70-83

Persistent link: https://www.econbiz.de/10011669190

Forecasting Chinese stock market volatility with economic variables

Cai, Weixian; Chen, Jian; Hong, Jimin; Jiang, Fuwei - In: Emerging markets finance & trade : a journal of the … 53 (2017) 3, pp. 521-533

Persistent link: https://www.econbiz.de/10011764301

International volatility risk and Chinese stock return predictability

Chen, Jian; Jiang, Fuwei; Liu, Yangshu; Tu, Jun - In: Journal of international money and finance 70 (2017), pp. 183-203

Persistent link: https://www.econbiz.de/10011752322

Can US economic variables predict the Chinese stock market?

Goh, Jeremy C.; Jiang, Fuwei; Tu, Jun; Wang, Yuchen - In: Pacific-Basin finance journal 22 (2013), pp. 69-87

Persistent link: https://www.econbiz.de/10009712446

Can US Economic Variables Predict the Chinese Stock Market?

Goh, Jeremy - 2013

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...

Persistent link: https://www.econbiz.de/10013092529

Asset Allocation in Chinese Stock Market : The Role of Return Predictability

Chen, Jian - 2019

While numerous studies have analyzed the asset allocation issue of US stock market from various angles, much less attention has been paid to the asset allocation issue of Chinese stock market. This article investigates the asset allocation in Chinese stock market from a perspective of...

Persistent link: https://www.econbiz.de/10012903364

Dissecting the Effectiveness of Firm Financial Strength in Predicting Chinese Stock Market

Jiang, Fuwei - 2018

Our study tries to explore whether the financial strength proxied by F-score can predict the returns in Chinese stock market and its economic explanations. Results show that the financially stronger firms can generate higher expected raw returns and abnormal returns in Fama-French five-factor...

Persistent link: https://www.econbiz.de/10012929887