KMS Of Academy of mathematics and systems sciences, CAS
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 | |
发表期刊 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS |
ISSN | 0378-4371 |
卷号 | 526页码:16 |
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. |
关键词 | Returns Volatility Macroeconomic variables Generalized VAR China |
DOI | 10.1016/j.physa.2019.04.261 |
语种 | 英语 |
资助项目 | National 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研究方向 | Physics |
WOS类目 | Physics, Multidisciplinary |
WOS记录号 | WOS:000474503800101 |
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/35201 |
专题 | 系统科学研究所 |
通讯作者 | Bashir, Usman |
作者单位 | 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 |
推荐引用方式 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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