文献类型：期刊文献

英文题名：The dynamic correlation between policy uncertainty and stock market returns in China

作者：Yang, Miao[1];Jiang, Zhi-Qiang[1]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2016

卷号：461

起止页码：92

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20162402485279);WOS:【SSCI(收录号:WOS:000380601200009)，SCI-EXPANDED(收录号:WOS:000380601200009)】；

语种：英文

外文关键词：Policy uncertainty; Stock market returns; DCC-MGARCH

摘要：The dynamic correlation is examined between government's policy uncertainty and Chinese stock market returns in the period from January 1995 to December 2014. We find that the stock market is significantly correlated to policy uncertainty based on the results of the Vector Auto Regression (VAR) and Structural Vector Auto Regression (SVAR) models. In contrast, the results of the Dynamic Conditional Correlation Generalized Multivariate Autoregressive Conditional Heteroscedasticity (DCC-MGARCH) model surprisingly show a low dynamic correlation coefficient between policy uncertainty and market returns, suggesting that the fluctuations of each variable are greatly influenced by their values in the preceding period. Our analysis highlights the understanding of the dynamical relationship between stock market and fiscal and monetary policy. (C) 2016 Elsevier B.V. All rights reserved.