Forecasting Chinese Stock Market Volatility With Economic Variables. Issue 3 (4th March 2017)

• Record Type: Journal Article
• Authors: Cai, Weixian; Chen, Jian; Hong, Jimin; Jiang, Fuwei
• Is Part Of: Emerging markets finance & trade. Volume 53:Issue 3(2017)
• Page Start: 521
• Page End: 533
• Publication Date: 2017-03-04
• Subjects: Chinese stock market -- combination forecast -- economic variable -- out-of-sample forecasting -- volatility forecasting; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2015.1093878
• Languages: English
• ISSNs: 1540-496X

Abstract

ABSTRACT: This article investigates the forecasting power of economic variables for the Chinese stock market volatility. We find that several economic variables strongly forecast the future monthly volatilities for the aggregate Chinese stock market and a number of industry portfolios. The forecasting power of economic variables remains strong in out-of-sample setting. The predictability of Chinese stock market volatility can be further improved when combining information in all economic variables together.