Currency, Property and Stock Market Volatility : An Empirical Analysis of China

Abstract

This passage continues the earlier investigation regarding the correlation among the currency market, the property market, and the equity market. Additionally, it examines the transfer of fluctuation impact among the three markets. The application of the VAR-MGARCH-BEKK time series model and the GARCH model aims to assess volatility correlations between property prices, currency supply, and the stock index. Furthermore, it seeks to test the proposed hypothesis concerning the impact of their respective undulations on the growth rate of the stock index. The study found that, in line with the previous research conclusions, there is no volatility effect in the three markets under the long-term trend; that is, there is no volatility spillover effect between the three markets, but there is a nonlinear ARCH effect, and the GARCH regression results show that the joint volatility of the stock index price and the other two prices significantly affects the volatility of the stock market itself.