کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973016 1479852 2016 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Chinese stock market volatility and the role of U.S. economic variables
ترجمه فارسی عنوان
نوسانات بازار سهام چین و نقش متغیرهای اقتصادی ایالات متحده
کلمات کلیدی
پیش بینی نوسانات؛ متغیرهای اقتصادی ایالات متحده؛ خارج از پیش بینی نمونه ها. پیش بینی ترکیبی؛ بازار سهام چین
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We forecast the Chinese stock market volatility using the US economic variables.
• We compare the predictive power of US economic variables with that of China for the Chinese stock volatility.
• The predictive ability of US economic variables is robust for the out-of-sample setting and industry portfolio returns.

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of the Chinese stock market. The predictability is statistically and economically significant and can be further improved when combining the information in all U.S. economic variables together. Forecast encompassing tests and regression tests show that the forecasting power of U.S. economic variables is incremental when comparing with the Chinese domestic economic variables. Our findings are robust for the out-of-sample analysis and a number of Chinese industry portfolios volatilities.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 39, September 2016, Pages 70–83
نویسندگان
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