The impact of macroeconomic news on Chinese futures

Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volat...
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Autor*in:	Liu, Ruobing [verfasserIn] Yang, Jianhui [verfasserIn] Ruan, Chuan-Yang [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2019

Übergeordnetes Werk:	Enthalten in: International Journal of Financial Studies - Basel : MDPI, 2013, 7(2019), 4/63, Seite 1-14
Übergeordnetes Werk:	volume:7 ; year:2019 ; number:4/63 ; pages:1-14

Links:	Link aufrufen Link aufrufen Link aufrufen Terms of use

DOI / URN:	10.3390/ijfs7040063

Katalog-ID:	1688140603

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allfields	10.3390/ijfs7040063 doi 10419/257661 hdl (DE-627)1688140603 (DE-599)KXP1688140603 DE-627 ger DE-627 rda eng E27 jelc Liu, Ruobing verfasserin (DE-588)1203410255 (DE-627)1688503986 aut The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant. Yang, Jianhui verfasserin (DE-588)1156674085 (DE-627)1019502800 (DE-576)502357886 aut Ruan, Chuan-Yang verfasserin aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 7(2019), 4/63, Seite 1-14 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:7 year:2019 number:4/63 pages:1-14 https://www.mdpi.com/2227-7072/7/4/63/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs7040063 Resolving-System kostenfrei http://hdl.handle.net/10419/257661 Resolving-System kostenfrei https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 7 2019 4/63 1-14 26 01 0206 3579140442 x1k 23-01-20 2403 01 DE-LFER 3596758084 00 --%%-- --%%-- n --%%-- l01 19-02-20 2403 01 DE-LFER https://doi.org/10.3390/ijfs7040063 2403 01 DE-LFER https://www.mdpi.com/2227-7072/7/4/63/pdf 26 00 DE-206 56 China futures market 26 00 DE-206 56 GARCH-MIDAS 26 00 DE-206 56 long-run variance 26 00 DE-206 56 macroeconomic fundamentals
spelling	10.3390/ijfs7040063 doi 10419/257661 hdl (DE-627)1688140603 (DE-599)KXP1688140603 DE-627 ger DE-627 rda eng E27 jelc Liu, Ruobing verfasserin (DE-588)1203410255 (DE-627)1688503986 aut The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant. Yang, Jianhui verfasserin (DE-588)1156674085 (DE-627)1019502800 (DE-576)502357886 aut Ruan, Chuan-Yang verfasserin aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 7(2019), 4/63, Seite 1-14 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:7 year:2019 number:4/63 pages:1-14 https://www.mdpi.com/2227-7072/7/4/63/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs7040063 Resolving-System kostenfrei http://hdl.handle.net/10419/257661 Resolving-System kostenfrei https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 7 2019 4/63 1-14 26 01 0206 3579140442 x1k 23-01-20 2403 01 DE-LFER 3596758084 00 --%%-- --%%-- n --%%-- l01 19-02-20 2403 01 DE-LFER https://doi.org/10.3390/ijfs7040063 2403 01 DE-LFER https://www.mdpi.com/2227-7072/7/4/63/pdf 26 00 DE-206 56 China futures market 26 00 DE-206 56 GARCH-MIDAS 26 00 DE-206 56 long-run variance 26 00 DE-206 56 macroeconomic fundamentals
allfields_unstemmed	10.3390/ijfs7040063 doi 10419/257661 hdl (DE-627)1688140603 (DE-599)KXP1688140603 DE-627 ger DE-627 rda eng E27 jelc Liu, Ruobing verfasserin (DE-588)1203410255 (DE-627)1688503986 aut The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant. Yang, Jianhui verfasserin (DE-588)1156674085 (DE-627)1019502800 (DE-576)502357886 aut Ruan, Chuan-Yang verfasserin aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 7(2019), 4/63, Seite 1-14 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:7 year:2019 number:4/63 pages:1-14 https://www.mdpi.com/2227-7072/7/4/63/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs7040063 Resolving-System kostenfrei http://hdl.handle.net/10419/257661 Resolving-System kostenfrei https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 7 2019 4/63 1-14 26 01 0206 3579140442 x1k 23-01-20 2403 01 DE-LFER 3596758084 00 --%%-- --%%-- n --%%-- l01 19-02-20 2403 01 DE-LFER https://doi.org/10.3390/ijfs7040063 2403 01 DE-LFER https://www.mdpi.com/2227-7072/7/4/63/pdf 26 00 DE-206 56 China futures market 26 00 DE-206 56 GARCH-MIDAS 26 00 DE-206 56 long-run variance 26 00 DE-206 56 macroeconomic fundamentals
allfieldsGer	10.3390/ijfs7040063 doi 10419/257661 hdl (DE-627)1688140603 (DE-599)KXP1688140603 DE-627 ger DE-627 rda eng E27 jelc Liu, Ruobing verfasserin (DE-588)1203410255 (DE-627)1688503986 aut The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant. Yang, Jianhui verfasserin (DE-588)1156674085 (DE-627)1019502800 (DE-576)502357886 aut Ruan, Chuan-Yang verfasserin aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 7(2019), 4/63, Seite 1-14 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:7 year:2019 number:4/63 pages:1-14 https://www.mdpi.com/2227-7072/7/4/63/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs7040063 Resolving-System kostenfrei http://hdl.handle.net/10419/257661 Resolving-System kostenfrei https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 7 2019 4/63 1-14 26 01 0206 3579140442 x1k 23-01-20 2403 01 DE-LFER 3596758084 00 --%%-- --%%-- n --%%-- l01 19-02-20 2403 01 DE-LFER https://doi.org/10.3390/ijfs7040063 2403 01 DE-LFER https://www.mdpi.com/2227-7072/7/4/63/pdf 26 00 DE-206 56 China futures market 26 00 DE-206 56 GARCH-MIDAS 26 00 DE-206 56 long-run variance 26 00 DE-206 56 macroeconomic fundamentals
allfieldsSound	10.3390/ijfs7040063 doi 10419/257661 hdl (DE-627)1688140603 (DE-599)KXP1688140603 DE-627 ger DE-627 rda eng E27 jelc Liu, Ruobing verfasserin (DE-588)1203410255 (DE-627)1688503986 aut The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant. Yang, Jianhui verfasserin (DE-588)1156674085 (DE-627)1019502800 (DE-576)502357886 aut Ruan, Chuan-Yang verfasserin aut Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 7(2019), 4/63, Seite 1-14 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:7 year:2019 number:4/63 pages:1-14 https://www.mdpi.com/2227-7072/7/4/63/pdf Verlag kostenfrei https://doi.org/10.3390/ijfs7040063 Resolving-System kostenfrei http://hdl.handle.net/10419/257661 Resolving-System kostenfrei https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 7 2019 4/63 1-14 26 01 0206 3579140442 x1k 23-01-20 2403 01 DE-LFER 3596758084 00 --%%-- --%%-- n --%%-- l01 19-02-20 2403 01 DE-LFER https://doi.org/10.3390/ijfs7040063 2403 01 DE-LFER https://www.mdpi.com/2227-7072/7/4/63/pdf 26 00 DE-206 56 China futures market 26 00 DE-206 56 GARCH-MIDAS 26 00 DE-206 56 long-run variance 26 00 DE-206 56 macroeconomic fundamentals
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topic_title	E27 jelc 26 00 DE-206 56 China futures market 26 00 DE-206 56 GARCH-MIDAS 26 00 DE-206 56 long-run variance 26 00 DE-206 56 macroeconomic fundamentals The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan
topic	jelc E27 26 China futures market 26 GARCH-MIDAS 26 long-run variance 26 macroeconomic fundamentals
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title_full	The impact of macroeconomic news on Chinese futures Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan
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title_sort	impact of macroeconomic news on chinese futures
title_auth	The impact of macroeconomic news on Chinese futures
abstract	Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant.
abstractGer	Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant.
abstract_unstemmed	Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant.
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title_short	The impact of macroeconomic news on Chinese futures
url	https://www.mdpi.com/2227-7072/7/4/63/pdf https://doi.org/10.3390/ijfs7040063 http://hdl.handle.net/10419/257661 https://creativecommons.org/licenses/by/4.0/
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fullrecord_marcxml	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a2200265 4500</leader><controlfield tag="001">1688140603</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20220829142359.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">200123s2019 xx \|\|\|\|\|o 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.3390/ijfs7040063</subfield><subfield code="2">doi</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10419/257661</subfield><subfield code="2">hdl</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)1688140603</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KXP1688140603</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">E27</subfield><subfield code="2">jelc</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Liu, Ruobing</subfield><subfield code="e">verfasserin</subfield><subfield code="0">(DE-588)1203410255</subfield><subfield code="0">(DE-627)1688503986</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="4"><subfield code="a">The impact of macroeconomic news on Chinese futures</subfield><subfield code="c">Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2019</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures&rsquo; return volatility. Based on the empirical results, we find the level of macroeconomic variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor on the futures´ return volatility is statistically significant.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Yang, Jianhui</subfield><subfield code="e">verfasserin</subfield><subfield code="0">(DE-588)1156674085</subfield><subfield code="0">(DE-627)1019502800</subfield><subfield code="0">(DE-576)502357886</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Ruan, Chuan-Yang</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">International Journal of Financial Studies</subfield><subfield code="d">Basel : MDPI, 2013</subfield><subfield code="g">7(2019), 4/63, Seite 1-14</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)737287705</subfield><subfield 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The impact of macroeconomic news on Chinese futures

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