The return and volatility nexus among stock market and macroeconomic fundamentals for China

被引：16

作者：

Abbas, Ghulam ^{[1
]}

Bashir, Usman ^{[2
]}

Wang, Shouyang ^{[3
]}

Zebende, Gilney Figueira ^{[4
,5
]}

Ishfaq, Muhammad ^{[6
]}

机构：

[1] Sukkur IBA Univ, Sindh 65200, Pakistan

[2] Univ Sci & Technol China, Sch Management, Hefei 230026, Anhui, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China

[4] State Univ Feira De Santana, Dept Phys, Feira De Santana, BA, Brazil

[5] State Univ Feira De Santana, Earth Sci & Environm Modeling Program, Feira De Santana, BA, Brazil

[6] Cent Univ Finance & Econ, Sch Finance, Beijing 100190, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 526卷

基金：

美国国家科学基金会; 中国国家自然科学基金;

关键词：

Returns; Volatility; Macroeconomic variables; Generalized VAR; China; IMPULSE-RESPONSE ANALYSIS; SPILLOVERS; US; VARIANCE; UNCERTAINTY; PRICES;

D O I：

10.1016/j.physa.2019.04.261

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

This study examines the relationship between the returns and the volatilities of the stock market and macroeconomic fundamentals by using monthly data ranging from 1995:M7 to 2015: M6. For this purpose, we employ the Diebold and Yilmaz (2012) spillover index approach under the generalized VAR framework. The empirical results of total spillover index indicate no significant differences in the return and volatility connectedness between stock market and macroeconomic variables for China. The directional return and volatility spillover impact is comparatively stronger from stock market to the macroeconomic variables. The return and volatility spillovers in either direction, changed significantly after the global financial crisis of 2008. The findings of this study provide useful insights for investors and policy makers concerned with the return and volatility nexus between stock market and macroeconomic variables for China. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：16

共 35 条

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[2]

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