Academic Journal of Business & Management, 2025, 7(4); doi: 10.25236/AJBM.2025.070409.
Shuheng Chen1, Xiaoping Wang2
1College of Business and Economics, Shanghai Business School, Shanghai, China
2College of Business and Economics, Shanghai Business School, Shanghai, China
This paper investigates the impact of macroeconomic indicators on the volatility of China's stock market. Seven macroeconomic variables are selected: industrial value-added, consumer price index, money supply, Shanghai Interbank Offered Rate (SHIBOR), US Dollar/Renminbi exchange rate, import volume, and export volume. The volatility of the stock market is measured by the Shanghai Stock Exchange Composite Index price return. Monthly data from January 2010 to December 2023 are used to construct a Vector Autoregressive (VAR) model for empirical analysis. The results indicate that compared to market-driven price fluctuations, the influence of these macroeconomic indicators on stock market volatility is relatively small. However, over time, as the stock market matures and evolves, their impact gradually increases. Among the seven indicators, import volume has the most significant effect on stock market volatility, followed by industrial value-added, consumer price index, SHIBOR, money supply, export volume, and the US Dollar/Renminbi exchange rate. Based on these findings, policymakers should pay attention to these macroeconomic indicators and utilize effective market management and policy optimization to regulate the stock market. Investors should also monitor these economic data and adjust their investment strategies to maximize asset value and manage risks.
Macroeconomic Indicators, Stock Market, Volatility, Impact Analysis
Shuheng Chen, Xiaoping Wang. Analysis of the Impact of Macroeconomic Indicators on the Volatility of China’s Stock Market. Academic Journal of Business & Management(2025), Vol. 7, Issue 4: 72-82. https://doi.org/10.25236/AJBM.2025.070409.
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