Forecasting Stock Market Volatility with Macroeconomic Variables

This paper investigates the predictive power of macroeconomic variables for stock market Volatility in China. To proceed with this, linear Granger causality tests are applied. The study finds that there is Granger causality between the conditional volatility in stock returns and Some of macroeconomic Variables. Macroeconomic variables volatility can forecast stock market volatility. the causality direction is stronger than the one from stock market to macroeconomic variables. These findings may have important implications for decision-making by investors and national policymakers.