پایه و اصول کلان به عنوان منبع نوسانات بازار سهام در چین : یک روش گارچ-میداس

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with speculative factors. We show that the Chinese A-share market presented speculative characteristics before WTO entry in late 2001. However, after that date macroeconomic fundamentals and their volatility played an increasing role in the A-share market, especially CPI inflation, at the expense of speculative factors, proxied by volume. The B-share market has shown speculative characteristics since it was opened to domestic investors in 2001. However the disconnect of long-run stock market volatility from real economic activity in China is particularly noteworthy.

In a country where financial development is still ongoing we should not expect the stock market to behave in line with the theory of efficient markets. The Chinese stock market is usually considered to be no exception to this rule. Given the limited alternative investment opportunities, initially a reduced float, still binding short-sale constraints, and an overwhelming domination of individual over institutional investors, its behavior in the 1990s has generally been portrayed as highly speculative (Mei et al. 2009), at least in its main segment, being thus at times comparable to a casino (Girardin and Liu, 2003). However, the reforms introduced in the new millennium both in the stock market and in the economy, linked in part to WTO entry, may have strengthened the role of macroeconomic fundamentals in driving stock market volatility at the expense of speculative factors. This paper provides tests of such a maintained hypothesis, not only using a modified Mixed Data Sampling (MIDAS) methodology (Ghysels et al. (2005)) in which stock market volatility is modeled as a combination of macroeconomic effects and time series dynamics, but also augmenting such a model with trading volume in order to account for the role of speculative factors. Over the twenty years of existence of the stock market in modern China, the economy has posted impressive average rates of real growth, but with sharp contrasts between some episodes of growth slowdown, as in the late nineties, and periods of accelerated growth as in the mid-2000s. Similarly, the inflation pattern has been all but uniform, starting from a highly inflationary period in the mid-nineties, through a deflationary one in the late nineties, and a revival of inflation a decade later. However, the boom and bust periods of the Chinese stock market are generally not considered to match the movements of growth or inflation (de Bondt et al., 2010). The Chinese stock market is divided between two segments, among which the largest one, the A-market, denominated in Chinese Renminbi, was initially reserved to (mostly uninformed individual) domestic investors, while the B-market, denominated in foreign currency, was initially restricted to foreign investors. Existing work on China's stock market provides us with evidence in support of the speculative character of the A-share market (Mei et al., 2009). The high turnover on that market is a manifestation of this feature. Earlier evidence indeed showed that the mixture-of-distribution hypothesis, which explains conditional volatility by volume, fits well the Chinese market (Su and Fleisher, 1999). However, a number of deep reforms, implemented in the last decade, may have lessened the speculative character of the market, leaving an increasing role for macroeconomic fundamentals. First, an expanding number of listed firms in China are increasingly representative of an economy where non-state-owned firms' output now accounts for three quarters of industrial activity. Even state-owned firms which benefited from an early listing have been seriously restructured with sharp lay-offs. They have refocused on market behavior at the expense of their role as providers of the social safety net. The entry into the World Trade Organization (WTO) in December 2001 has symbolized this shift in the Chinese economy. Second, the sharp hiatus between the float and the capitalization in the stock market – due to the privileged control by various government entities of a very sizeable proportion of shares, thus never traded – was promptly all but eliminated after the split-share reform initiated in May 2005 and completed in late 2006 (Beltratti et al., 2009). Third, the door of the A-share market for large foreign institutional investors (the so-called Qualified Foreign Institutional Investors' scheme, QFII) left ajar from 2003 onwards, and similarly for domestic investors to invest abroad (the so-called Qualified Domestic Institutional Investors' scheme, QDII) from 2004 onwards, was gradually opened with the qualification of an increasing number of them (amounting to a total quota of respectively $21 and 74 billion). All these deep changes imply that the behavior of the Chinese stock market may have become closer to that of its peers in other large countries. Within this perspective de Bondt et al. (2010) consider the influence of fundamentals in the Chinese case, using Shiller's (1981) ‘excess volatility’ perspective, as a reflection of the earnings potential of firms. They find evidence of stable relationships, though with episodes of sharp misalignments. However, such work does not tell us whether the volatility of the Chinese stock market is linked to the behavior of macroeconomic variables and their volatilities. As stressed by Schwert (1989), if macroeconomic data “provide information about the volatility of either future expected cash flows or future discount rates, they can help explain why stock return volatility changes over time” (Schwert, 1989, p. 1116). A GARCH approach is used by Wang (2010) to show that the volatility of inflation but not of output causes stock market volatility in China. A line of research, inspired by Schwert, considers macro-variables as potential determinants of long-run stock market volatility. It focuses almost exclusively on the U.S. market and has been applied to China only insofar as the latter country has been included in large panels where its specificity is all but lost (Diebold and Yilmaz, 2010 and Engle and Rangel, 2008). We apply the Mixed Data Sampling (MIDAS) methodology to explain the Chinese A and B-share markets' long-run volatility estimated from daily squared returns using monthly data on macroeconomic variables and also account for trading volume as a proxy for speculative activity. We show that the Chinese A-share market presented speculative characteristics before WTO entry in late 2001. We also find that, subsequently, macroeconomic fundamentals and their volatilities played an increasing role, especially for CPI inflation, while the influence of volume on the A-share index vanished. The B-share market, however, started showing speculative characteristics only after its opening to domestic investors in 2001. The empirical analyses of the effect of macroeconomic variables on long-run stock market volatility, as well as existing evidence on the speculative character of the Chinese stock market will be presented in section two. The Mixed Data Sampling methodology as well as the data used in the present paper will be introduced in section three. Section four will discuss the results of the application of the MIDAS framework to the A and B share markets over the last decade and a half, and provide interpretations. Section five will offer some conclusions.