Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR
This paper proposes a framework for examining the interaction between stock market volatilities and economic uncertainty shocks, aiming to understand better the influence of economic uncertainty shocks on the Chinese stock market. The major empirical results include the followings. First, the econom...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/6944318 |
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| _version_ | 1832549230957297664 |
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| author | Dongliang Cai Tong Zhang Kefei Han Jingqi Liang |
| author_facet | Dongliang Cai Tong Zhang Kefei Han Jingqi Liang |
| author_sort | Dongliang Cai |
| collection | DOAJ |
| description | This paper proposes a framework for examining the interaction between stock market volatilities and economic uncertainty shocks, aiming to understand better the influence of economic uncertainty shocks on the Chinese stock market. The major empirical results include the followings. First, the economic policy uncertainty shocks push the Chinese stock volatility up, increasing the market risk. A 1-standard-deviation shock of economic policy uncertainty will enhance the stock volatility of the two composite indices by approximately 7% in 12 months. Second, the stock volatility reacted more intensely to fiscal and monetary economic policy uncertainty shocks, with a 1-standard-deviation shock that can enhance the stock volatility of the two composite indices by more than 10% in 12 months. Third, different stock indices exhibit different patterns of cumulative impulse responses, and the reaction of the volatility of the SSE real estate index to economic policy uncertainty shocks is more significantly intense than other indices. Besides, we have proved the robustness of empirical results by reestimating the models with a lag order of 2. Overall, our research results can provide policy and managerial insights for the sustainable development of the Chinese stock market and beyond. |
| format | Article |
| id | doaj-art-5813db735bd44bd1a2b008a62ac57ce9 |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-5813db735bd44bd1a2b008a62ac57ce92025-02-03T06:11:52ZengWileyComplexity1099-05262022-01-01202210.1155/2022/6944318Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVARDongliang Cai0Tong Zhang1Kefei Han2Jingqi Liang3School of FinanceInstitute of Chinese Financial StudiesSchool of FinanceSchool of AdministrationThis paper proposes a framework for examining the interaction between stock market volatilities and economic uncertainty shocks, aiming to understand better the influence of economic uncertainty shocks on the Chinese stock market. The major empirical results include the followings. First, the economic policy uncertainty shocks push the Chinese stock volatility up, increasing the market risk. A 1-standard-deviation shock of economic policy uncertainty will enhance the stock volatility of the two composite indices by approximately 7% in 12 months. Second, the stock volatility reacted more intensely to fiscal and monetary economic policy uncertainty shocks, with a 1-standard-deviation shock that can enhance the stock volatility of the two composite indices by more than 10% in 12 months. Third, different stock indices exhibit different patterns of cumulative impulse responses, and the reaction of the volatility of the SSE real estate index to economic policy uncertainty shocks is more significantly intense than other indices. Besides, we have proved the robustness of empirical results by reestimating the models with a lag order of 2. Overall, our research results can provide policy and managerial insights for the sustainable development of the Chinese stock market and beyond.http://dx.doi.org/10.1155/2022/6944318 |
| spellingShingle | Dongliang Cai Tong Zhang Kefei Han Jingqi Liang Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR Complexity |
| title | Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR |
| title_full | Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR |
| title_fullStr | Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR |
| title_full_unstemmed | Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR |
| title_short | Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR |
| title_sort | economic policy uncertainty shocks and chinese stock market volatility an empirical analysis with svar |
| url | http://dx.doi.org/10.1155/2022/6944318 |
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