A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China

doi:10.1007/s11518-018-5386-4

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	A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China
	Xu, Nuo 1,2; Tang, Xijin1,2
刊名	JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING
	2018-10-01
卷号	27 期号:5 页码:613-631
关键词	Societal risk perception stock market volatility Baidu Index Granger causality test multiple linear regressions
ISSN号	1004-3756
DOI	10.1007/s11518-018-5386-4
英文摘要	Modern China is undergoing a variety of social conflicts as the arrival of new era with the transformation of the principal contradiction. Then monitoring the society stable is a huge workload. Online societal risk perception is acquired by mapping on-line public concerns respectively into societal risk events including national security, economy & finance, public morals, daily life, social stability, government management, and resources & environment, and then provides one kind of measurement toward the society state. Obviously, stable and harmonious social situations are the basic guarantee for the healthy development of the stock market. Thus we concern whether the variations of the societal risk are related to stock market volatility. We study their relationships by two steps, first the relationships between search trends and societal risk perception; next the relationships between societal risk perception and stock volatility. The weekend and holiday effects in China stock market are taken into consideration. Three different econometric methods are explored to observe the impacts of variations of societal risk on Shanghai Composite Index and Shenzhen Composite Index. 3 major findings are addressed. Firstly, there exist causal relations between Baidu Index and societal risk perception. Secondly, the perception of finance & economy, social stability, and government management has distinguishing effects on the volatility of both Shanghai Composite Index and Shenzhen Composite Index. Thirdly, the weekend and holiday effects of societal risk perception on the stock market are verified. The research demonstrates that capturing societal risk based on on-line public concerns is feasible and meaningful.
资助项目	National Key Research and Development Program of China[2016YEB1000902] ; National Natural Science Foundation of China[61473284] ; National Natural Science Foundation of China[71731002]
WOS研究方向	Operations Research & Management Science
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000446486300005
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/31360]
专题	系统科学研究所
通讯作者	Tang, Xijin
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China
推荐引用方式 GB/T 7714	Xu, Nuo,Tang, Xijin. A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China[J]. JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING,2018,27(5):613-631.
APA	Xu, Nuo,&Tang, Xijin.(2018).A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China.JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING,27(5),613-631.
MLA	Xu, Nuo,et al."A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China".JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING 27.5(2018):613-631.