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Does news on real Chinese GDP growth impact stock markets?

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  • Franses, Ph.H.B.F.
  • Mees, H.

Abstract

Real GDP growth in China follows a random walk. Also, it has often been suggested that China “cooks its books”, that is to say that governmental officials in China manipulate economic statistics such as GDP growth rate to present the outside world a rosy picture (Foreign Policy, September 3, 2009). If such unreliability is known to stock traders, news on GDP should not impact stock market fluctuations or their volatility. We test this hypothesis for 12 series with daily stock market returns for the years 2006 to and including 2009.

Suggested Citation

  • Franses, Ph.H.B.F. & Mees, H., 2010. "Does news on real Chinese GDP growth impact stock markets?," Econometric Institute Research Papers EI 2010-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:20146
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. , & Hwa, Yen Siew & Chua, Soo Y. & Hooi, Lean Hooi, 2015. "Do Indian Economic Activities Impact ASEAN-5 Stock Markets?," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 61-76.

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    More about this item

    Keywords

    China; Gross Domestic Product;

    JEL classification:

    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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