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.
机构:
Jiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R ChinaJiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R China
Xia, Yufei
Sang, Chong
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机构:
Jiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R ChinaJiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R China
Sang, Chong
He, Lingyun
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机构:
China Univ Min & Technol, Sch Econ & Management, Xuzhou 221116, Jiangsu, Peoples R ChinaJiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R China
He, Lingyun
Wang, Ziyao
论文数: 0引用数: 0
h-index: 0
机构:
Jiangsu Normal Univ, Kewen Coll, Xuzhou 221116, Jiangsu, Peoples R ChinaJiangsu Normal Univ, Business Sch, Xuzhou 221116, Jiangsu, Peoples R China