中国市场的股票收益率及宏观经济变量相关关系的实证的分析研究.pdf

An Empirical Study on the Relation between Stock Returns and Macroeconomic Variables in China By Ma, Wenwen Under the Supervision of Professor Ju, Nengjiu Submitted in Partial Fulfillment of the Requirements for the Degree of Master in Finance Shanghai Advanced Institute of Finance Shanghai Jiaotong University May 2013 万方数据 万方数据 万方数据 Contents Abstract i 摘 要 ii Introduction 1 1. Literature Review 4 1.1 Foreign market 4 1.2 Domestic market 6 1.3 Comments on the existing literature 7 2. Theory between Stock Returns and Macro Variables 8 2.1 Macro factors that affect stock returns 8 2.2 Impacts on macro economy from the stock market 12 3. Research Design 14 3.1 Improvement and contributions 14 3.2 Summary of Data selection 15 3.3 Data description 16 3.4 Empirical Design and Models 17 4. Methodology Review 20 4.1 Introduction of PLS 20 4.2 Principle of PLS 20 4.3 Algorithm of PLS 21 4.4 Rule of Cross Validation 24 5. Regress Stock Return on Macro Variables 27 5.1 Component analysis 27 5.2 Correlation diagrams analysis 28 5.3 Regression Coefficients