Research On The Correlation Between Macroeconomics And Stock Market Volatility

There are many theories and models in the study of stock market volatility,and the conclusions drawn by different scholars using different models and methods are also different.Since the invention of GARCH-MIDAS in 2008,more and more scholars have applied this model framework to analyze stock market volatility.This paper firstly uses the variant of GJR-GARCH-MIDAS model to study the component decomposition theory of stock market volatility.On this basis,macroeconomic variables are directly included to study the correlation between macro variables and stock market volatility.And then,I also use the realized volatility and individual macroeconomic variable to study their combined effects on volatility.Finally,this paper studies the volatility decomposition characteristics of the five major industry indices of Shanghai Stock Exchange,and also the correlation between various macroeconomic factors and the index volatility of various industries.The empirical results show that for the Shanghai Stock Exchange Index,the use of realized volatility can well prove the correctness of the stock market volatility component decomposition theory.At the same time,it can be found that the six macroeconomic factors like IP,M2,revenue,fiscal expenditure,total retail sales of social consumer goods and deposits of financial institutions are in line with economic theory,and are related to the volatility of the Shanghai Index.The model coefficients representing the consensus index of the macroeconomic population are also significant,but the fitting effect is not optimal.Further,it was found that the two-factor model works better than the single-factor model.For the five major industry indices,the volatility decomposition theory of the index is still established.Using macroeconomic variables to analyze the five major industry indices,it is known that compared with other macro variables,the total retail sales of M2 and social consumer goods are related to the volatility of various industry indices.