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China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong

China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong This paper examines the effect of Chinese macroeconomic variables, the industrial production growth rate, the producer price index, the 3-month short-term Shanghai Interbank Offer Rate and the consumer price index, on the volatility of the Shanghai and Hong Kong stock markets. We apply the generalized autoregressive conditional heteroskedastic mixed data sampling model for the study. Our empirical findings on various indexes and enterprises in the Shanghai and Hong Kong markets show that Chinese macroeconomic variables have a greater power to explain the volatility in Hong Kong than in Shanghai. They also contribute significantly to Hong Kong’s market volatility. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Pacific Basin Financial Markets and Policies World Scientific Publishing Company

China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong

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Publisher
World Scientific Publishing Company
ISSN
0219-0915
eISSN
1793-6705
DOI
10.1142/S021909151750014X
Publisher site
See Article on Publisher Site

Abstract

This paper examines the effect of Chinese macroeconomic variables, the industrial production growth rate, the producer price index, the 3-month short-term Shanghai Interbank Offer Rate and the consumer price index, on the volatility of the Shanghai and Hong Kong stock markets. We apply the generalized autoregressive conditional heteroskedastic mixed data sampling model for the study. Our empirical findings on various indexes and enterprises in the Shanghai and Hong Kong markets show that Chinese macroeconomic variables have a greater power to explain the volatility in Hong Kong than in Shanghai. They also contribute significantly to Hong Kong’s market volatility.

Journal

Review of Pacific Basin Financial Markets and PoliciesWorld Scientific Publishing Company

Published: Jun 1, 2017

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