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Management and Econometrics

Macro Fundamentals as a Source of Stock Market

Associate Professor Roselyne Joyeux, Macquarie University

23rd Sep 2011  11:00 am - Room 498, Merewether Building

In order to shed new light on the influence of volume and economic fundamentals on the volatility of the Chinese stock market we follow the methodology introduced by Engle, Ghysels and Sohn (2009) (EGS) and Engle and Rangel (2008). We show that the Chinese A-share market presented speculative characteristics before WTO entry in late 2001. However, after that date macroeconomic fundamentals play an increasing role, especially for CPI inflation, and the influence of volume on the A-share index vanishes. The B-share market shows speculative characteristics since it was opened to domestic investors in 2001.
This is a joint work with Eric Girardin, AMSE-GREQAM-University Aix-Marseille