Dynamic Linkages between Stock Market Volatility and Macroeconomic Variables:Empirical Evidence Based on China

摘要：

This paper investigates whether dynamics in key macroeconomic indicators in China significantly explain stock returns. The dataset covers the period from January 1996 to December 2006. Using the impulse response, the study finds that in terms of magnitude, persistence, and significance, the transmission of shocks emanating from industrial production and money supply to stock market are more pronounced than the ones originating from the other macroeconomic variables. These findings may have important implications for decision-making by investors and national policymakers.

关键词： component Impulse response Macroeconomic variables Stock market

作者: Zhaoxu Chen Jun Xu

作者单位: Department of Public Administration, Changchun Taxation College, Changchun, 130117, China School of Management, Changchun Institute of Technology, Changchun, 130012, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 831-835

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）