Data for the research paper "The influence of the market interconnectedness on the capitalization of public companies" by M. Chirkov

Published: 26 February 2024| Version 1 | DOI: 10.17632/6p7wsmzz3g.1
Michail Chirkov


The data in the table was used in my graduation master's thesis. I am publishing this dataset so that other interested researchers can replicate the results. The data structure is presented as follows: - the SharePrice (monthly) sheet shows monthly returns for 50 Chinese companies (the column names match the ticker under which the company is traded on the stock exchange) - the MarketRiskPremium sheet provides information on the market risk premium - the SMB & HML sheet provides information on factors from the Fama-French three-factor model for emerging markets - the Emerging_MOM_Factor sheet shows the Monthly Momentum Factor from the Fama-Carhart four-factor model



Moskovskij gosudarstvennyj universitet imeni M V Lomonosova


Financial Econometrics