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

doi:10.1016/j.physa.2019.04.261

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 系统科学研究所

	The return and volatility nexus among stock market and macroeconomic fundamentals for China
	Abbas, Ghulam 2; Bashir, Usman 3; Wang, Shouyang4 ; Zebende, Gilney Figueira 1,5; Ishfaq, Muhammad 6
刊名	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
	2019-07-15
卷号	526 页码:16
关键词	Returns Volatility Macroeconomic variables Generalized VAR China
ISSN号	0378-4371
DOI	10.1016/j.physa.2019.04.261
英文摘要	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.
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
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000474503800101
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/35200]
专题	系统科学研究所
通讯作者	Bashir, Usman
作者单位	1.State Univ Feira De Santana, Earth Sci & Environm Modeling Program, Feira De Santana, BA, Brazil 2.Sukkur IBA Univ, Sindh 65200, Pakistan 3.Univ Sci & Technol China, Sch Management, Hefei 230026, Anhui, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 5.State Univ Feira De Santana, Dept Phys, 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.