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Table 13 The results of the GLS estimation about the impact of both macroeconomic 
factor and MRSH on the banking industry stock return (R) 
Variable Coefficient 
P-value. 
C 5.97074 0.6143 
MRSH 0.938366*** 
0.0000 
INF -0.915199 0.3768 
EX -0.055194 0.6520 
MS 0.281899 0.6883 
INT -0.060773 0.9261 
R-squared 0.730689 
Note: C, MRSH, INF, EX, MS, INT stand for the intercept term, Shanghai exchange stock return, 
inflation rate, exchange rate, money supply and interest rate. ***, ** and * indicate 1%, 5% and 10% 
significant levels, respectively. 

4.2.2.5 Impact of Macroeconomic Variables with Control Factor MRSZ on Banking 

Industry Stock Return 
The results of the GLS estimation about the impact of macroeconomic factor 
and with control factor MRSZ on the R are presented in Table 14. The R is banking 
industry stock return which is a dependent variable. According to the result, the 
inflation rate has a negative and insignificant association with banking industry stock 
return. As reported in Table 14 below, the coefficient estimate of d
1 
is -0.944351, 
indicating that an increase in the inflation rate by 1 unit will cause banking industry 
stock to respond by a decrease of 0.944351 unit. If a decrease in the inflation rate by 1 
unit will cause banking industry stock to respond by an increase of 0.944351 unit, but 
there is not significantly affects to the stock return which according to the result, the 
P-value is 0.4226. For the exchange rate, the regression result indicate that exchange 
rate has a negative and insignificant association with banking industry stock return, 
the coefficient estimate of f
2 
is -0.072285, it means when EX change 1 unit, the return 
will change negative 0.072285 unit, and exchange rate is insignificantly affects the 

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banking stock depend on the result that p-value is 0.6093. This result is supported by 
the studies. Banking industry stock return has a positive relationship with money 
supply (MS), it means when MS change 1 unit, the return will change positive 
0.725314 unit, but is not significantly affects the stock return because of the P-value is 
0.3522. Here, banking industry stock return has a negative relationship with interest 
rate (INT), the coefficient estimate of f
4 
is 0.262814, the result shows that interest rate 
change 1 unit, the banking industry stock return will change positive 0.262814 unit, it 
means an increase in the interest rate by 1 unit will cause banking industry stock to 
respond by an increase of 0.262814 unit. If a decrease in the interest rate by 1 unit 
will cause banking industry stock to respond by a decrease of 0.262814 unit. And 
there is an insignificant affect to the return because of the P-value is 0.7301. For the 
Shenzhen exchange stock return, the result shows a positive and very significantly on 
the banking stock return, the coefficient estimate of d
5 
is 0.811057, it means an 
increase in the MRSZ by 1 unit will cause banking industry stock to respond by an 
increase of 0.811057 units. If a decrease in the MRSZ by 1 unit will cause banking 
industry stock to respond by a decrease of 0.811057 units. And there is a very 
significant affect to the return which at the 1% significant level because of the p-value 
is 0. From the result, we can see that, when put the control variable like MRSZ into 
the model, all the macroeconomic variables have insignificant expect on the banking 
industry stock return, and the change of banking industry stock return completely 
depends on the MRSZ.

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