Title :
Notice of Retraction
Is Chinese stock market a barometer of macro economy?
Author_Institution :
School of Economics, Huazhong University of Science and Technology School of Economics, Wuhan University of Technology
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
How macro economy affects the stock market? Whether the stock market is a barometer of macro economy? This paper studies these questions based on the relationship analysis of the Shanghai A share volatility and macro economy. Using Granger causality test and VAR model, it empirically analyzed the relationship between the two series from May 2006 to March 2010. The results showed that the Granger causality between stock volatility series and macroeconomic variables was not significant.
Keywords :
Correlation; Fluctuations; Indexes; Macroeconomics; Reactive power; Stock markets; VAR; barometer; impulse response function; variance decomposition;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5881802
