The return and volatility nexus among stock market and macroeconomic fundamentals for China
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DOI: 10.1016/j.physa.2019.04.261
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Cited by:
- Marie Ligocka, 2023. "The relationship between macroeconomic variables and stock market indices: evidence from Central and Eastern European countries," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 14, pages 76-107, December.
- Bruno Deschamps & Tianlun Fei & Ying Jiang & Xiaoquan Liu, 2022. "Procyclical volatility in Chinese stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1117-1144, April.
- Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
- Tao, Chen & Zhong, Guang-Yan & Li, Jiang-Cheng, 2023. "Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 614(C).
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Keywords
Returns; Volatility; Macroeconomic variables; Generalized VAR; China;All these keywords.
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