Analysis Of Investment Return In A Shares Market Based On Fundamental Factors

China's stock market has its own specific features, such as it is a relative closed market comparing with overseas markets, lacking of liquidity, full of stockjobbing, the proportion of personal investors in the market higher than foreign markets, all these due to following two reasons: I. China's stock market has developed for a short period; II. The environment of capital market & banking is not mature. Therefore, we should study the stock market based on its own particularity instead of citing the result based on other markets directly.The stock returns could be divided into two parts, returns of separate stocks & returns of the whole market. The factors relate to returns of separate stocks are the operating conditions of the corporation, the capacity of growing up, the ability of earnings etc. And the factors relate to the market's returns are the macroeconomic factors, such as the CPI, interests, industry growing rate, etc. So my study must include the above two aspects. I. Analyzed the correlation between the microeconomic elements and equity year yield. Firstly, use the measure of correlation analysis to analyze the correlation between single element and equity year yield; secondly, use the measure of linear regression to regress the models of every bull period and every bear period. II. Analyzed the correlation of macroeconomic elements and SH index. Firstly, still analyzed the correlation of each single macroeconomic element and SH index; and secondly use the measure of cointegration to study the long term relationship among the macroeconomic elements and SH index; Lastly use error correct model to create the short term relationship among the macroeconomic elements and SH index. III. Try to create an index to describe the proportion of the investment behaviors of every year. To use AR(1) dynamic model to work out the daily bubble value based on the daily closed price of SH index. And then sum up the absolute value of daily bubble value to get the year accumulative bubble value, so we could get the year investment behaviors index.