Research On The Predictability Of Oil,Gold And Exchange Rates To The Volatility Of Hong Kong Stocks

Oil is the "blood of industry",gold is the "safe haven" for investors,exchange rate affects a country's balance of payments and import and export trade,and stock market is the"macroeconomic barometer",all of which play an important role in the economic development of each country.A large number of existing literatures show that oil,gold and exchange rates are closely linked to the stock market.All three can be used to predict stock market volatility.However,there are few studies on the impact of these three on stocks.Take the Hong Kong stock market as an example.From the perspective of volatility,the nested autoregressive model is used to study the impact of the three on the stock market under the same framework.In order to compare the predictive power of the three,tHSI paper collected data from January 1989 to December 2018,and selected 12 variables from three markets as independent variables,using their daily data to construct monthly volatility.And according to its own attributes,it is divided into three categories:realized volatility;implied volatility and volatility risk premium.By analyzing the predictability of these three types of variables on the volatility of the Hong Kong stock market(using the Hong Kong Hang Seng Index HSI as a research indicator),we find that:(1)Regardless of whether it is in the sample or the out-of-sample prediction,the three types of variables have a good predictability of the Hong Kong Hang Seng Index volatility.The gold market has the best prediction in the three major markets,followed by the oil market,and the exchange rate market is the worst.The implied volatility forecasting effect is the best in the class variables,followed by the volatility risk premium,and the volatility effect is the worst.The VHSI prediction effect is the best among all the independent variables,and the model prediction ability gradually decreases with the prediction time span.(2)The predictability of the independent variable to stock volatility during the recession is stronger than during the economic expansion.The out of sample R2 statistics during the recession all exceeded the out of sample R2 statistics during the baseline full sample,and the out of sample R2 statistics during the economic expansion all exceeded the out of sample R2 statistics during the baseline full sample.(3)The predictability of realized volatility at the high volatility level of Hong Kong stocks is better than during low volatility periods.Implied volatility and volatility risk premiums are better predictive when stock volatility is lower.All independent variables(except VRP-GOLD)are more predictive of low self-fluctuation.(4)Robustness tests using both long-term frameworks and incremental models showed that the model's predictive power remained stable even after controlling for some popular macroeconomic variables.In general,the independent variables can well predict the volatility of the Hong Kong stock market.(5)Linking the independent variables with the actual economic activities,exploring the reasons why the independent variables can predict the volatility of stocks,and using the independent variables to predict the volatility of the Hong Kong stock market,also has a good prediction effect.