Volume 7 Number 10 (Oct. 2012)
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JSW 2012 Vol.7(10): 2229-2235 ISSN: 1796-217X
doi: 10.4304/jsw.7.10.2229-2235

Changes in Macroeconomic Policies and Volatility of Chinese Stock Market

Qi’an Chen, Pengyu Fang, and Yuan Zhang
School of Economics and Business Administration, Chongqing University, Chongqing400030, China

Abstract—Based on a comprehensive investigation on Chinese Stock Market and macroeconomic policies, analyzing samples of the SSE Composite Index and relevant monetary and fiscal policies during the period from January 2000 to June 2008, this paper uses GARCH-type models and EVIEWS5.1 software to study effects of changes in macroeconomic policy on conditional volatility of Chinese Stock Market and analyzes the economic significance and reasonability of empirical results. The results show that, when the government adopts the compound policies of money supply, interest rate, stamp duty and fiscal expenditure to regulate the stock market, changes in monetary policies (including money supply and interest rate) have significant effects on the conditional volatility of Chinese Stock Market, while effects of changes in fiscal policies (including stamp duty and fiscal expenditure) on the conditional volatility of Chinese Stock Market are not statistically significant. This finding, to a certain extent, verifies the fund-pulled features and weak-form efficient features of Chinese Stock Market.

Index Terms—Macroeconomic policy; Conditional volatility; GARCH-type model; Chinese Stock Market

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Cite: Qi’an Chen, Pengyu Fang, and Yuan Zhang, "Changes in Macroeconomic Policies and Volatility of Chinese Stock Market," Journal of Software vol. 7, no. 10, pp. 2229-2235, 2012.

General Information

ISSN: 1796-217X (Online)
Frequency: Monthly
Editor-in-Chief: Prof. Antanas Verikas
Executive Editor: Ms. Yoyo Y. Zhou
Abstracting/ Indexing: DBLP, EBSCO, ProQuest, INSPEC, ULRICH's Periodicals Directory, WorldCat, etc
E-mail: jsw@iap.org
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