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Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

Postal Subscription Code 80-978

Front. Econ. China    2006, Vol. 1 Issue (3) : 395-405    https://doi.org/10.1007/s11459-006-0013-6
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An analysis of the consumption risk and asset returns of Chinese residents
ZANG Xuheng1, WANG Liping2
1.School of Economics, Shandong University, Jinan 250100, China; 2.School of Economics and City Management, Shandong Economic University, Jinan 250014, China;
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Abstract The research on the consumption-based asset pricing theory is limited to the developed capital markets. This paper seeks to extend the research to the Chinese developing capital market. It analyzes the dynamic relationship between the Chinese residents  consumption, stock market returns and interest rates with the CCAPM. According to the analyses of this paper, the IV regression results are mixed. However, the data can fit the model relatively well, and the empirical results fail to reject the model. Thus, the results show that a relationship between the Chinese residents  consumption growth rates and the asset returns does indeed exist, and that the consumption volatility risk could influence the asset returns.
Issue Date: 05 September 2006
 Cite this article:   
WANG Liping,ZANG Xuheng. An analysis of the consumption risk and asset returns of Chinese residents[J]. Front. Econ. China, 2006, 1(3): 395-405.
 URL:  
http://academic.hep.com.cn/fec/EN/10.1007/s11459-006-0013-6
http://academic.hep.com.cn/fec/EN/Y2006/V1/I3/395
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