Impact of US Uncertainty on Chinese Stock Market Volatility

2018 ◽  
Vol 56 (3) ◽  
pp. 576-592
Author(s):  
Renhai Hua ◽  
Pengfei Zhao ◽  
Honghai Yu ◽  
Libing Fang
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Chinese Stock Market ◽  
Stock Market Volatility

scholarly journals Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR-MIDAS Approach

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Xinyu Wu ◽  
Tianyu Liu ◽  
Haibin Xie
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Model Framework ◽  
Economic Policy Uncertainty ◽  
Volatility Model ◽  
The Impact

Intraday range (the difference between intraday high and low prices) is often used to measure volatility, which has proven to be a more efficient volatility estimator than the return-based one. Meanwhile, a growing body of studies has found that economic policy uncertainty (EPU) has important impact on stock market volatility. In this paper, building on the range-based volatility model, namely, the conditional autoregressive range (CARR) model, we introduce the CARR-mixed-data sampling (CARR-MIDAS) model framework by considering intraday information to investigate the impact of EPU on the volatility of Chinese stock market and to explore the predictive ability of EPU for Chinese stock market. The empirical results show that both the China EPU (CEPU) and global EPU (GEPU) have a significantly negative effect on the long-run volatility of Chinese stock market. Furthermore, we find that taking into account the CEPU and GEPU leads to substantial improvement in the ability to forecast the volatility of Chinese stock market. We also find that the CEPU provides superior volatility forecasts compared to the GEPU. Our findings are robust to different forecasting windows.

Forecasting Chinese Stock Market Volatility With Economic Variables

2015 ◽  
Vol 53 (3) ◽  
pp. 521-533 ◽  
Author(s):  
Weixian Cai ◽  
Jian Chen ◽  
Jimin Hong ◽  
Fuwei Jiang
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Economic Variables

CROSS-MARKET FINANCIAL RISK ANALYSIS: AN AGENT-BASED COMPUTATIONAL FINANCE

2011 ◽  
Vol 10 (03) ◽  
pp. 563-584 ◽  
Author(s):  
XIONG XIONG ◽  
MEI WEN ◽  
WEI ZHANG ◽  
YONG JIE ZHANG
Keyword(s):  
Stock Market ◽  
Futures Market ◽  
Market Volatility ◽  
Computational Finance ◽  
Future Market ◽  
Investment Strategies ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Agent Based ◽  
Index Futures

Using the method of agent-based computational finance, this paper designs ten experiments to examine the impacts of the index futures market, typical investment strategies, and different trading mechanisms on the volatility of the Chinese stock market, taking into account the behavior of investors. We have the following results. First, the volatility of the stock market decreases with the index future market and cross-market arbitrageurs. Second, different investment strategies have different effects on stock market volatility. In many cases, both market-imitating and stop-loss strategies can increase stock market volatility. Third, the mechanism of price limits for the index futures market can help to stabilize the fluctuation of the stock market.

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