Abstract Using stock market data from Wind and DataStream and economic data from the World Bank, this article studies the characteristics of stock market returns of China and five other developed countries around the world. The results show that the average return and volatility of Chinese stock market is much higher than those of other developed countries. Also, the stock market returns and economic growth is positively correlated in these countries. However, the Sharpe ratio of Chinese stock market return is not as high as its GDP growth.
2015, Vol. 32 
