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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

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

Název periodika

China &amp; World Economy

ISSN

1671-2234

e-ISSN

1749-124X

Svazek periodika

31

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CN - Čínská lidová republika

Počet stran výsledku

25

Strana od-do

1-25

Kód UT WoS článku

001069284400001

EID výsledku v databázi Scopus

2-s2.0-85171300306