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The Impact of Macroeconomic News on Chinese Futures

1
School of Business Administration, South China University of Technology, Guangzhou 510320, China
2
School of Business Administration, Guangdong University of Finance & Economics, Guangzhou 510320, China
3
Antai College of Economics and Management, Shanghai Jiao Tong Univerisity, Shanghai 200240, China
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2019, 7(4), 63; https://doi.org/10.3390/ijfs7040063
Received: 10 August 2019 / Revised: 1 October 2019 / Accepted: 2 October 2019 / Published: 22 October 2019
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. View Full-Text
Keywords: GARCH-MIDAS; China futures market; macroeconomic fundamentals; long-run variance GARCH-MIDAS; China futures market; macroeconomic fundamentals; long-run variance
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Liu, R.; Yang, J.; Ruan, C.-Y. The Impact of Macroeconomic News on Chinese Futures. Int. J. Financial Stud. 2019, 7, 63.

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