The return and volatility nexus among stock market and macroeconomic fundamentals for China

This study examines the relationship between the returns and the volatilities of the stock market and macroeconomic fundamentals by using monthly data ranging from 1995:M7 to 2015: M6. For this purpose, we employ the Diebold and Yilmaz (2012) spillover index approach under the generalized VAR framework. The empirical results of total spillover index indicate no significant differences in the return and volatility connectedness between stock market and macroeconomic variables for China. The directional return and volatility spillover impact is comparatively stronger from stock market to the macroeconomic variables. The return and volatility spillovers in either direction, changed significantly after the global financial crisis of 2008. The findings of this study provide useful insights for investors and policy makers concerned with the return and volatility nexus between stock market and macroeconomic variables for China. (C) 2019 Elsevier B.V. All rights reserved.