The Causes of Stock Market Volatility in China

Author

Zhao-xu, CHEN ; Jin-quan, LIU ; Bei-yang, ZHANG

Author_Institution

Changchun Taxation Coll., Changchun

fYear

2007

fDate

20-22 Aug. 2007

Firstpage

1856

Lastpage

1860

Abstract

This paper developed and estimated a model which is capable of explaining movements in the conditional volatility of the Shanghai stock market. Among the most important determinants of the conditional volatility of the China stock market are found to be the conditional volatilities of industrial production and money supply which are directly associated with stock market volatility, and the interest rates, the import and the inflation which are indirectly associated with stock market. Among these variables the strongest effect is found to be from the money supply to the stock market in China.

Keywords

economic indicators; financial management; macroeconomics; stock markets; China stock market; Shanghai stock market volatility; industrial production; interest rates; money supply; Australia; Conference management; Economic forecasting; Economic indicators; Educational institutions; Engineering management; Macroeconomics; Production; Reactive power; Stock markets; GARCH; macroeconomic variables; stock market; volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2007. ICMSE 2007. International Conference on

Conference_Location

Harbin

Print_ISBN

978-7-88358-080-5

Electronic_ISBN

978-7-88358-080-5

Type

conf

DOI

10.1109/ICMSE.2007.4422110

Filename

4422110