Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China

DOI10.1016/J.PHYSA.2017.10.033MaRDI QIDQ2148362zbMATH OpenOpenAlexFDO

Authors Sumuya Borjigin, Yating Yang, Leilei Sun, Xiaoguang Yang

Publication date 23 June 2022

Published in Physica A (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.physa.2017.10.033

zbMATH Keywords

macroeconomyrelationstock prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 775842 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market
• Wavelet analysis of stock returns and aggregate economic activity
• What does financial volatility tell us about macroeconomic fluctuations?

Cited in

(4)

• Nonlinearity and Endogeneity in Macro-Asset Pricing
• THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
• An empirical analysis about relationship between stock market and macroeconomy in China
• Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

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