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Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China

Sumuya Borjigin - No affiliation found

2018/03/01 Full-length article DOI: 10.1016/j.physa.2017.10.033 Journal: Physica A: Statistical Mechanics and its Applications

Abstract:

Highlights •The nonlinear dynamic Granger causality between China’s stock prices and macroeconomy is stronger than linear dynamic Granger causality between them.•The nonlinear dynamic Granger causality from macroeconomy to stock prices is stronger than the nonlinear dynamic Granger causality from stock prices to macroeconomy.