Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F23%3A10469850" target="_blank" >RIV/00216208:11230/23:10469850 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=.MBLEXP1f3" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=.MBLEXP1f3</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1111/cwe.12500" target="_blank" >10.1111/cwe.12500</a>

Result language

angličtina

Original language name

Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation

Original language description

This paper studies the connection between the stock market and real output in China and compares it with benchmark countries, employing a novel vector autoregression with asymmetric leads (VARwAL) model. It makes two contributions. First, it finds that the time profile of the Chinese stock market&apos;s response to real output shocks suggests no evidence of a distorted relationship due to manipulation of Chinese real output data or domination of the Chinese stock market by individual investors. Rather, the Chinese stock market is relatively more responsive to real output, in line with the larger share of manufacturing in the Chinese economy. Electricity output and industrial profits, two different, less-manipulable time series, yield similar results. Second, it presents the first use of VARwAL impulse responses to detect stock market bubbles: VARwAL captures the 2015 bubble in China successfully. Over the full sample period, China&apos;s stock market appears to have been less prone to bubbles than the US stock market.

Czech name

—

Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50201 - Economic Theory

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2023

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

China &amp; World Economy

ISSN

1671-2234

e-ISSN

1749-124X

Volume of the periodical

31

Issue of the periodical within the volume

5

Country of publishing house

CN - CHINA

Number of pages

25

Pages from-to

1-25

UT code for WoS article

001069284400001

EID of the result in the Scopus database

2-s2.0-85171300306