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

Volume: 526, Pages: 121025 - 121025
Published: Jul 1, 2019
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...
Paper Details
Title
The return and volatility nexus among stock market and macroeconomic fundamentals for China
Published Date
Jul 1, 2019
Volume
526
Pages
121025 - 121025
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