Forecasting Stock Market Volatility with Macroeconomic Variables

摘要：

This paper investigates the predictive power of macroeconomic variables for stock market volatility in China. To proceed with this, linear Granger causality tests are applied. The study finds that there is Granger causality between the conditional volatility in stock returns and some of macroeconomic variables. Macroeconomic variables volatility can forecast stock market volatility, the causality direction is stronger than the one from stock market to macroeconomic variables. These findings may have important implications for decision-making by investors and national policymakers.

关键词： Granger causality Macroeconomic variables Stock market volatility

作者: Chen Zhao-xu He Xiao-wei Geng Yu-xin

作者单位: Dept.of Public Administration, Changchun Taxation College, P.R.China, 130117 Economics School, Jilin Dept.of Business and Management, Changchun University of Technology, P.R.China, 130012 Bank of Communications, Guangzhou Provincial Branch, P.R.China, 510120

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）