중국 선전시장의 변동성 요소와 거시위험요인에 관한 연구

In this paper, we are trying to decompose the volatility of Chinese Shenzhen stock markets into permanent component, transient component, and jump component by using Component-Jump model and try to compare each of those components with U.S. stock market’s component. Also we are investigating whether the permanent component of Shenzhen stock market can be explained by some of Chinese macroeconomic risk factors. Data cover from 1/4/2005 to 9/15/2020 and proxies of macroeconomic variables are industrial production index, consumer price index, producer price index, money supply, export, import, exchange rate, and term spread of Chinese government bond. According to the main estimated results of this paper, the permanent component of the Shenzhen stock market volatility seems to be the dominant factor, and the jump comes every 6.93 trading days in Shenzhen stock markets. Also we find the permanent component of US stock market may explain that of Shenzhen stock market pretty well, the jump component of NASDAQ market can explain that of Shenzhen stock market a bit. Also the RLS results may indicate some of macroeconomic risk factors that can explain the permanent component of Shenzhen stock market volatility will be the volatility of consumer price index, the volatility of foreign exchange rates, and the term spread of Chinese government bond.