THE EFFECT OF MACRO-ECONOMICVARIABLESON THE STOCK RETURNS OF SHENZHENSTOCKEXCHANGE IN CHINA

Abstract

The purpose of this research is to find the relationships between macro-economicvariables, such as exchange rate, Gross domestic product growth rate, moneysupply(M2) growth rate, crude oil price and inflation rate towards the stock returns of Shenzhen stock exchange from February 2010 to December 2017.Then accordingtothe results from this research, according to the perspective of macroeconomicvariables, propose the suggestions to predict the trends of stock returns. Theresearcher use the quantitative research, F-test, T-test, R square,and using multipleanalysis regression to the effect of macroeconomic variables to Stock returns of Shenzhen stock exchange from date of Feb 2010 to Dec 2017. Fromthe regressionanalysis, it concluded that exchange rate, Gross domestic product growth rate, moneysupply(M2) growth rate,and crude oil price has significance to stock returns of Shenzhen Stock exchange. However, the inflation rate has no significance to stockreturns of Shenzhen Stock exchange during the period Feb 2010 to Dec 2017. Theresearch is found the influences of macro-economic variables to stock returns of Shenzhen stock exchange. This results can give government, managers of securitiescompany, and investor some recommendations for investing and management.