Forecasting Chinese Stock Market Volatility With Economic Variables

Weixian Cai, Jian Chen, Jimin Hong and Fuwei Jiang ()

Emerging Markets Finance and Trade, 2017, vol. 53, issue 3, 521-533

Abstract: This article investigates the forecasting power of economic variables for the Chinese stock market volatility. We find that several economic variables strongly forecast the future monthly volatilities for the aggregate Chinese stock market and a number of industry portfolios. The forecasting power of economic variables remains strong in out-of-sample setting. The predictability of Chinese stock market volatility can be further improved when combining information in all economic variables together.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2015.1093878 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:53:y:2017:i:3:p:521-533

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2015.1093878

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().