Academic Journal of Business & Management, 2024, 6(5); doi: 10.25236/AJBM.2024.060503.
Huiqi Wu
School of Economics and Management, Guangxi Normal University, Guilin, China
The stock market is a fundamental component of China's modern financial system, and fluctuations in the stock market can significantly reflect China's economic performance. As China's economy undergoes transformation and upgrading, economic policy is being continuously adjusted and improved. This paper employs China's economic policy uncertainty index and stock market volatility data to examine the time-varying effect of China's economic policy uncertainty on stock market volatility using the TVP-VAR model. The research findings indicate that as the lag period increases, the impact of economic policy uncertainty on stock market volatility also increases. This impact is not constant but varies over time, and it is evident that the impact of economic policy uncertainty on stock market volatility is not limited to a specific period or event. Rather, it is a long-term phenomenon that has a significant and far-reaching impact. Based on these findings, this paper presents policy recommendations that are relevant to the observed trends.
Economic policy uncertainty; Stock market volatility; TVP-VAR model
Huiqi Wu. Time-varying effects of economic policy uncertainty on the volatility of China's stock market: Based on TVP-VAR Model. Academic Journal of Business & Management (2024) Vol. 6, Issue 5: 15-22. https://doi.org/10.25236/AJBM.2024.060503.
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