The return and volatility nexus among stock market and macroeconomic fundamentals for China-Reference-Cited by-同舟云学术

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The return and volatility nexus among stock market and macroeconomic fundamentals for China

Published:2019-07 Issue: Volume:526 Page:121025
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Abbas Ghulam,Bashir Usman,Wang Shouyang,Zebende Gilney Figueira,Ishfaq Muhammad

Funder

National Science Foundation of China (NSFC)

National Natural Science Foundation of China

CNPq (Conselho Nacional de Desenvolvimento Científico e Tecnológico, Brazil

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference35 articles.

1. Chinese stock market volatility and the role of US economic variables;Chen;Pac.-Basin Finance J.,2016

2. Stock returns, real activity, inflation, and money;Fama;Amer. Econ. Rev.,1981

3. Macroeconometrics of stock price fluctuations;Abdullah;Q. J. Bus. Econ.,1993

4. Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model;Mukherjee;J. Financ. Res.,1995

5. Dynamic analysis between the US stock returns and the macroeconomic variables;Ratanapakorn;Appl. Financ. Econ.,2007

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