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Return and Volatility Connectedness between Stock Markets and macroeconomic factors in the G-7 Countries

Journal of Systems Science and Systems Engineering 2019年第1期28卷 1-36页

作者： Ghulam Abbas Shawkat Hammoudeh Syed Jawad Hussain Shahzad Shouyang Wang Yunjie Wei School of Economics and Management University of Chinese Academy of Sciences Beijing 100190 China Sukkur Institute of Business Administration Sukkur Sindh-65200 Pakistan Lebow College of Business Drexel University Philadelphia United States Energy and Sustainable Development (ESD) Montpellier Business School Montpellier France Energy and Sustainable Development (ESD) Montpellier Business School Montpellier France Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 China Center for Forecasting Science Chinese Academy of Sciences Beijing 100190 China

We examine the relationship between return and volatility of the stock markets and macroeconomic fundamentals for the G-7 countries by using monthly data ranging from July 1985 to June 2015. To meet this end, we apply the spillover index approach based on the generalized VAR framework developed by Diebold and Yilmaz (2012, 2014). The empirical analysis shows strong interactions between the returns and volatilities of the G-7 stock markets and the considered set of corresponding macroeconomic factors including industrial production, money supply, interest rates, inflation, oil prices and exchange rates. The return and volatility spillover transmission/reception dynamics of the relationships between these stock markets and the macroeconomic fundamentals have changed after the global financial crisis of 2008. Our findings provide useful insights for investors and policy makers concerned with the unprecedented swings in the stock markets of G-7 countries.

关键词： G-7 return volatility connectedness macroeconomic factors generalized VAR

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Cointegration between macroeconomic factors and the exchange rate USD/CNY

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Financial Innovation 2019年第1期5卷 76-90页

作者： Muhammad Kamran Khan Jian-Zhou Teng Muhammad Imran Khan School of Economics Northeast Normal UniversityChangchunJilinChina

This research paper investigates the effect of macroeconomic variables on the exchange rate USD/CYN using yearly time series data for China economy from 1980 to *** bounds test approach for cointegration is applied to test the long-run relation between the dependent and the independent *** results of long-run ARDL indicate that gross domestic product growth and trade openness have a positive effect on the exchange rate USD/CNY while interest and inflation rates have a negative effect on the exchange *** on the results of this study,it is recommended that the policymakers of the Chinese government should implement vital monetary and fiscal policies to determine the less volatile and productive exchange rate for China to manage sustainable economic growth for a long time with its trading partners.

关键词： Exchange rate macroeconomic factors ARDL

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Impact Analysis of macroeconomic factors on Stock Value of Shanghai Pudong Development Bank under PCA Regression

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经济管理学刊（中英文版） 2020年第2期9卷 79-86页

作者： Xujie Pan Kai Wu Anhui University of Finance and Economics BengbuAnhui provinceChina233030

When we consider the factors affecting the stock market,we often consider the impact of macroeconomic factors on *** the basis of the academic achievements of predecessor scholars on macroscopic factors affecting the overall stocks,this article selects six macroeconomic influencing factors:money supply,USDCNY exchange rate,GDP,national fiscal revenue,price index and interest rate,and uses PAC regression analysis method to construct a regression *** the influencing factors of Shanghai Pudong Development Bank stock;then conduct heteroscedasticity,autocorrelation,and multicollinearity tests to modify and adjust the regression model;finally,make relevant recommendations based on the analysis results.

关键词： Stock Value PAC Regression macroeconomic factors Multicollinearity Shanghai Pudong Development Bank Stock

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