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