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The Impact of Macroeconomic News on Chinese Futures

Author

Listed:
  • Ruobing Liu

    (School of Business Administration, South China University of Technology, Guangzhou 510320, China)

  • Jianhui Yang

    (School of Business Administration, South China University of Technology, Guangzhou 510320, China)

  • Chuan-Yang Ruan

    (School of Business Administration, Guangdong University of Finance & Economics, Guangzhou 510320, China
    Antai College of Economics and Management, Shanghai Jiao Tong Univerisity, Shanghai 200240, China)

Abstract
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.

Suggested Citation

  • Ruobing Liu & Jianhui Yang & Chuan-Yang Ruan, 2019. "The Impact of Macroeconomic News on Chinese Futures," IJFS, MDPI, vol. 7(4), pages 1-14, October.
    • Handle: RePEc:gam:jijfss:v:7:y:2019:i:4:p:63-:d:279197
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    References listed on IDEAS

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    1. Zian Wang & Xinshu Li, 2024. "On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures," Papers 2409.08355, arXiv.org.
    2. Zian Wang & Xinyi Lu, 2024. "COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning," Papers 2409.08356, arXiv.org.

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