Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China

doi:10.1016/j.physa.2017.10.033

CSpace > 系统科学研究所

	Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
	Sumuya, Borjigin 1,2; Yang, Yating 1; Yang, Xiaoguang2 ; Sun, Leilei 3
	2018-03-01
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	493 页码:107-115
摘要	Many researchers have realized that there is a strong correlation between stock prices and macroeconomy. In order to make this relationship clear, a lot of studies have been done. However, the causal relationship between stock prices and macroeconomy has still not been well explained. A key point is that, most of the existing research adopts linear and stable models to investigate the correlation of stock prices and macroeconomy, while the real causality of that may be nonlinear and dynamic. To fill this research gap, we investigate the nonlinear and dynamic causal relationships between stock prices and macroeconomy. Based on the case of China's stock prices and acroeconomy measures from January 1992 to March 2017, we compare the linear Granger causality test models with nonlinear ones. Results demonstrate that the nonlinear dynamic Granger causality is much stronger than linear Granger causality. From the perspective of nonlinear dynamic Granger causality, China's stock prices can be viewed as "national economic barometer". On the one hand, this study will encourage researchers to take nonlinearity and dynamics into account when they investigate the correlation of stock prices and macroeconomy; on the other hand, our research can guide regulators and investors to make better decisions. (C) 2017 The Authors. Published by Elsevier B.V.
关键词	Stock prices Macroeconomy Relation
DOI	10.1016/j.physa.2017.10.033
语种	英语
资助项目	National Natural Science Foundation of China[61463039] ; China Postdoctoral Science Foundation[2015M581192] ; Natural Science Foundation of Inner Mongolia[2014BS0706]
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000423892800009
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29404
专题	系统科学研究所
通讯作者	Sumuya, Borjigin
作者单位	1.Inner Mongolia Univ, Sch Econ & Management, Hohhot 010021, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China
推荐引用方式 GB/T 7714	Sumuya, Borjigin,Yang, Yating,Yang, Xiaoguang,et al. Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2018,493:107-115.
APA	Sumuya, Borjigin,Yang, Yating,Yang, Xiaoguang,&Sun, Leilei.(2018).Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,493,107-115.
MLA	Sumuya, Borjigin,et al."Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 493(2018):107-115.