Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach

► We extract the Chinese A and B-share markets' long-run volatility. ► We make use of the Mixed Data Sampling (MIDAS) methodology. ► The Chinese A-share market presents speculative characteristics up to 2001. ► The B-share market shows speculative characteristics after 2001. ► Long-run stock volatility is sometimes explained by inflation, not by real activity.