Title :
The Causes of Stock Market Volatility in China
Author :
Zhao-xu, CHEN ; Jin-quan, LIU ; Bei-yang, ZHANG
Author_Institution :
Changchun Taxation Coll., Changchun
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;
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
DOI :
10.1109/ICMSE.2007.4422110
