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

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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

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