What Drives China’s 2015 Stock Market Surges and Turmoil?

摘要

Using high-frequency data, we investigate China's stock market surges and turmoil from 2014 to 2015 by employing GARCH family models to evaluate the effects of government policies, economic factors, and related announcements. The results indicate that China's stock market has primarily been driven by government policies rather than economic factors. During the period, the commentaries of the People's Daily further amplified the direction of market movements in the market surges and turmoil. In addition to individual policies and announcements, we explore the structural changes in volatility in different market stages and provide explanations for the distinct features of each stage.