China's monthly stock market return.xlsx
This is the China’s stock market quarterly excess return spans from 1991Q1 to 2021Q4. The China’s stock market return is the value-wighted return of firms including stocks code begin with ‘00,30,60’. This risk free rate is the one-year interest rate of lump-sum deposit and withdrawal. All the data is obtained from CSMAR database.
China’s quarterly stock market return
This is the China’s stock market quarterly excess return spans from 1991Q1 to 2021Q4. The China’s stock market return is the value-wighted return of firms including stocks code begin with ‘00,30,60’. This risk free rate is the one-year interest rate of lump-sum deposit and withdrawal. All the data is obtained from CSMAR database.
This is the realized variance of China’s stock market. $mv3$ is the adjusted market variance proposed by Cheng, Guo and Shi(2021).
This is the scaled price ratio of China’s stock market, including price-dividend ratio, price-earnings ratio and price-book value ratio.
This website provide many macroeconomic variables of China.