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The return and volatility nexus among stock market and macroeconomic fundamentals for China
Abbas, Ghulam1; Bashir, Usman2; Wang, Shouyang3; Zebende, Gilney Figueira4,5; Ishfaq, Muhammad6
2019-07-15
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN0378-4371
Volume526Pages:16
AbstractThis 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.
KeywordReturns Volatility Macroeconomic variables Generalized VAR China
DOI10.1016/j.physa.2019.04.261
Language英语
Funding ProjectNational Science Foundation of China (NSFC) for Distinguished Youth Scholars[71225002] ; National Natural Science Foundation of China[71401067] ; CNPq (Conselho Nacional de Desenvolvimento Cientifico e Tecnologico, Brazil) Brazilian agency[304362/2017-4]
WOS Research AreaPhysics
WOS SubjectPhysics, Multidisciplinary
WOS IDWOS:000474503800101
PublisherELSEVIER SCIENCE BV
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/35201
Collection系统科学研究所
Corresponding AuthorBashir, Usman
Affiliation1.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
Recommended Citation
GB/T 7714
Abbas, Ghulam,Bashir, Usman,Wang, Shouyang,et al. The return and volatility nexus among stock market and macroeconomic fundamentals for China[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,526:16.
APA Abbas, Ghulam,Bashir, Usman,Wang, Shouyang,Zebende, Gilney Figueira,&Ishfaq, Muhammad.(2019).The return and volatility nexus among stock market and macroeconomic fundamentals for China.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,526,16.
MLA Abbas, Ghulam,et al."The return and volatility nexus among stock market and macroeconomic fundamentals for China".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 526(2019):16.
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