Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators

Lixia Zhang, Jiancheng Bai, Yueyan Zhang and Can Cui

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: We comparatively assess the influence of global economic uncertainty measures on Chinese stock market volatility. Using a model based on generalized autoregressive conditional heteroskedasticity and mixed-data sampling, the results show that the global economic policy uncertainty index, the geopolitical risk index, and the global economic condition index all significantly influence the long-term volatility of China’s equity market. We highlight which of these measures has the most explanatory power under differing contexts. As uncertainty measures have wide applicability, investors, policymakers, and academicians will be quite interested in our results.

Keywords: World economic situation; Global economic condition (GECON) index; Stock market volatility; Generalized autoregressive conditional heteroskedasticity (GARCH)–mixed-data sampling (MIDAS) modeling (search for similar items in EconPapers)
JEL-codes: F37 F65 G32 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752

DOI: 10.1016/j.ribaf.2023.101949

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