Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)

The Influence of Macroeconomic State on Stock Market Return——Based on the application of macro multi-factor pricing model

Authors
Zirun Tian1, *
1City University of Macau, Macau, 999078, China
*Corresponding author. Email: T2026182001@163.com
Corresponding Author
Zirun Tian
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-098-5_237How to use a DOI?
Keywords
CAPM Model; Macroeconomic Indicators; Macro Multi-factor Pricing Model
Abstract

In order to characterize the time-varying of asset pricing factors with macroeconomic conditions, on the basis of the CAPM model, this paper takes the new variable constructed based on the Treasury bond yield as the variable to characterize the market premium, and pricing model for the stock returns of CSI 300 index and Zhong Zheng 1000 index to explore the explanatory effect of macroeconomic status on the return of China's stock market. The data analysis results of this paper show that macro factors can become variables that affect stock returns, and the impact of PPI on stock returns is the most significant among the selected factors.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
10.2991/978-94-6463-098-5_237
ISSN
2352-5428
DOI
10.2991/978-94-6463-098-5_237How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

TY  - CONF
AU  - Zirun Tian
PY  - 2022
DA  - 2022/12/27
TI  - The Influence of Macroeconomic State on Stock Market Return——Based on the application of macro multi-factor pricing model
BT  - Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)
PB  - Atlantis Press
SP  - 2109
EP  - 2115
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-098-5_237
DO  - 10.2991/978-94-6463-098-5_237
ID  - Tian2022
ER  -