The impact of macroeconomic news on Chinese futures

Artikel

Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures' return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures' return. The influence of the macroeconomic level factor on the futures' return volatility is statistically significant.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-14 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
• Subject: China futures market ; GARCH-MIDAS ; long-run variance ; macroeconomic fundamentals

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Liu, Ruobing ; Yang, Jianhui ; Ruan, Chuan-Yang
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/ijfs7040063
• Handle: http://hdl.handle.net/10419/257661
• Last update: 10.03.2025, 11:45 AM CET