Global Economic Uncertainty and the Chinese Stock Market : Assessing the Impacts of Global Indicators

We comparatively assess the influence of global economic uncertainty measures on Chinese stock-market volatility. Using GARCH-MIDAS modeling, results show that the global Economic Policy Uncertainty Index, the Geopolitical Risk Index, and the Global Economic Condition Index all have significant impact on long-term volatility of the Chinese equity market. We highlight which of these measures have the most explanatory power under differing contexts. As uncertainty measures have wide applicability, investors, policy makers, and academicians will be very interested in our results