Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
DOI10.1016/J.PHYSA.2017.10.033zbMATH Open1503.91111OpenAlexW2766623684MaRDI QIDQ2148362FDOQ2148362
Xiaoguang Yang, Leilei Sun, Sumuya Borjigin, Yating Yang
Publication date: 23 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.10.033
Recommendations
- THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
- Nonlinearity and Endogeneity in Macro-Asset Pricing
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Spillover effect and Granger causality investigation between China's stock market and international oil market: a dynamic multiscale approach
- The Japanese stock market and the macroeconomy: An empirical investigation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Financial markets (91G15)
Cites Work
- Wavelet analysis of stock returns and aggregate economic activity
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Title not available (Why is that?)
- What does financial volatility tell us about macroeconomic fluctuations?
- The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market
Cited In (3)
This page was built for publication: Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2148362)
