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Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
Sumuya, Borjigin1,2; Yang, Yating1; Yang, Xiaoguang2; Sun, Leilei3
2018-03-01
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN0378-4371
Volume493Pages:107-115
AbstractMany 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.
KeywordStock prices Macroeconomy Relation
DOI10.1016/j.physa.2017.10.033
Language英语
Funding ProjectNational Natural Science Foundation of China[61463039] ; China Postdoctoral Science Foundation[2015M581192] ; Natural Science Foundation of Inner Mongolia[2014BS0706]
WOS Research AreaPhysics
WOS SubjectPhysics, Multidisciplinary
WOS IDWOS:000423892800009
PublisherELSEVIER SCIENCE BV
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/29404
Collection系统科学研究所
Affiliation1.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
Recommended Citation
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.
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