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

Ghulam Abbas, Usman Bashir, Shouyang Wang, Gilney Figueira Zebende and Muhammad Ishfaq

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: 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.

Keywords: Returns; Volatility; Macroeconomic variables; Generalized VAR; China (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119306351
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119306351

DOI: 10.1016/j.physa.2019.04.261

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().