基于混频数据模型的宏观经济对股票市场波动的长期动态影响研究

doi:10.16381/j.cnki.issn1003-207x.2019.1853

Abstract

Abstract: The different frequency in the time series original data of stock price and macro-economic variables directly leads to model misspecificationandestimation bias of the traditional econometric models in analyzingthe relationship between macro-economic fluctuations and stock market volatility. The mixed frequency autoregressive conditional heteroscedasticity model is used to empirically analyze the long-term dynamic effects of producer price index, consumer price index, coincident index of macro-economic business and the interbank interest rate on stock market volatility from the perspective of level value and change rate.At the same time, the first principal component of macroeconomic variable is extracted via principal component analysis and a macroeconomic composite index is constructed to further explore the long-term impact of macroeconomic conditions on stock price volatility. It is found that, i)the realized volatility of stock market has magnified the long-term volatility of the stock market;ii) the level value and volatility of producer price index, consumer priceindex, coincident index of macro-economic business all have significant influence on the long-term volatility of the stock market, and it presents a strong continuous effect from the volatility dimension. The interbank interest rate only has a slight influence on the long-term component of the stock market volatility in the level value dimension; iii)the volatility of the first principal component of the macro-economy and the macro-economy composite index have significant positive amplification effect on the long-term component of the stock market volatility, but the sustained effect is weak, andits level value have a slight effect on the long-term component of the stock market volatility although it lasts for a long time.This conclusion shows that unexpected shocks from macroeconomic fundamentals play an important role in stock price volatility, deepening the academic view that "stock prices are pro-cyclical, and stock price volatilityarecounter-cyclical".

Key words: macroeconomic variables, GARCH-MIDAS Model, long-term components of stock market volatility

CLC Number:

LIU Feng-gen, WU Jun-chuan, YANG Xi-te, OUYANG Zi-sheng. Long-run Dynamic Effect of Macro-economy on Stock Market Volatility Based on Mixed Frequency Data Model[J]. Chinese Journal of Management Science, 2020, 28(10): 65-76.

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Long-run Dynamic Effect of Macro-economy on Stock Market Volatility Based on Mixed Frequency Data Model

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