The Impact of Macroeconomic News on Chinese Futures

Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan
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Ruobing Liu: School of Business Administration, South China University of Technology, Guangzhou 510320, China
Jianhui Yang: School of Business Administration, South China University of Technology, Guangzhou 510320, China
Chuan-Yang Ruan: School of Business Administration, Guangdong University of Finance & Economics, Guangzhou 510320, China

IJFS, 2019, vol. 7, issue 4, 1-14

Abstract: Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures’ return. The influence of the macroeconomic level factor on the futures’ return volatility is statistically significant.

Keywords: GARCH-MIDAS; China futures market; macroeconomic fundamentals; long-run variance (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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