Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model

被引:50
|
作者
Wei, Yu [1 ]
Yu, Qianwen [2 ]
Liu, Jing [3 ]
Cao, Yang [3 ]
机构
[1] Yunnan Univ Finance & Econ, Sch Finance, Kunming, Yunnan, Peoples R China
[2] Ind & Commercial Bank China, Qingdao Branch, Qingdao, Peoples R China
[3] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Sichuan, Peoples R China
基金
中国国家自然科学基金;
关键词
Hot money; Chinese stock market; Nonlinear granger causality test; GARCH-MIDAS; Long-term volatility; Real estate market; UNCERTAINTY; VARIANCE; PRICES; RETURN; HELP;
D O I
10.1016/j.physa.2017.11.022
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码:923 / 930
页数:8
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