Artikel
The impact of macroeconomic news on Chinese futures
Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures' return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures' return. The influence of the macroeconomic level factor on the futures' return volatility is statistically significant.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-14 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
- Thema
-
China futures market
GARCH-MIDAS
long-run variance
macroeconomic fundamentals
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liu, Ruobing
Yang, Jianhui
Ruan, Chuan-Yang
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
-
doi:10.3390/ijfs7040063
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Liu, Ruobing
- Yang, Jianhui
- Ruan, Chuan-Yang
- MDPI
Entstanden
- 2019
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