Central bank digital currency (CBDC) signals affect the volatility of stock indices in different sectors differently. This paper aims to examine whether the CBDC signal plays a role on the volatility of different stock indices. First, we employ a text analysis to compile the CBDC signal index, which spans from January 4, 2013 to March 16, 2023. Then, based on the mixing frequency data, we construct generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) models to explore the various impacts of CBDC signal on the volatility of stock indices in different sectors. The findings show the heterogeneous effect of CBDC signals on the volatility of stock indices across different sectors. Furthermore, CBDC signals have a heterogeneous effect on the volatility of stock indices in different sectors for different lag periods.
Citation: Wenjie Li, Zimei Huang. Do different stock indices volatility respond differently to Central bank digital currency signals?[J]. Electronic Research Archive, 2023, 31(9): 5573-5588. doi: 10.3934/era.2023283
Related Papers:
[1]
Jiaqi Chang, Xuhan Xu .
Network structure of urban digital financial technology and its impact on the risk of commercial banks. Electronic Research Archive, 2022, 30(12): 4740-4762.
doi: 10.3934/era.2022240
[2]
Zhenghui Li, Jinhui Zhu, Jiajia He .
The effects of digital financial inclusion on innovation and entrepreneurship: A network perspective. Electronic Research Archive, 2022, 30(12): 4697-4715.
doi: 10.3934/era.2022238
[3]
Yuxia Liu, Qi Zhang, Wei Xiao, Tianguang Chu .
Characteristic period analysis of the Chinese stock market using successive one-sided HP filter. Electronic Research Archive, 2023, 31(10): 6120-6133.
doi: 10.3934/era.2023311
[4]
Ping Yang, Min Fan, Zhiyi Li, Jianhong Cao, Xue Wu, Desheng Wu, Zhixi Lu .
Digital finance, spatial spillover and regional innovation efficiency: New insights from China. Electronic Research Archive, 2022, 30(12): 4635-4656.
doi: 10.3934/era.2022235
[5]
Yufei Duan, Xian-Ming Gu, Tingyu Lei .
Application of machine learning in quantitative timing model based on factor stock selection. Electronic Research Archive, 2024, 32(1): 174-192.
doi: 10.3934/era.2024009
[6]
Xin Tang, Zhiqiang Yuan, Xi Deng, Liping Xiang .
Predicting secondary school mathematics teachers' digital teaching behavior using partial least squares structural equation modeling. Electronic Research Archive, 2023, 31(10): 6274-6302.
doi: 10.3934/era.2023318
[7]
Changhai Wang, Jiaxi Ren, Hui Liang .
MSGraph: Modeling multi-scale K-line sequences with graph attention network for profitable indices recommendation. Electronic Research Archive, 2023, 31(5): 2626-2650.
doi: 10.3934/era.2023133
[8]
Liping Zheng, Jia Liao, Yuan Yu, Bin Mo, Yun Liu .
The effect credit term structure of monetary policy on firms' "short-term debt for long-term investment" behavior: empirical evidence from China. Electronic Research Archive, 2023, 31(3): 1498-1523.
doi: 10.3934/era.2023076
[9]
Yue Ma, Zhongfei Li .
Robust portfolio choice with limited attention. Electronic Research Archive, 2023, 31(7): 3666-3687.
doi: 10.3934/era.2023186
[10]
Hongzeng He, Shufen Dai .
A prediction model for stock market based on the integration of independent component analysis and Multi-LSTM. Electronic Research Archive, 2022, 30(10): 3855-3871.
doi: 10.3934/era.2022196
Abstract
Central bank digital currency (CBDC) signals affect the volatility of stock indices in different sectors differently. This paper aims to examine whether the CBDC signal plays a role on the volatility of different stock indices. First, we employ a text analysis to compile the CBDC signal index, which spans from January 4, 2013 to March 16, 2023. Then, based on the mixing frequency data, we construct generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) models to explore the various impacts of CBDC signal on the volatility of stock indices in different sectors. The findings show the heterogeneous effect of CBDC signals on the volatility of stock indices across different sectors. Furthermore, CBDC signals have a heterogeneous effect on the volatility of stock indices in different sectors for different lag periods.
1.
Introduction
Central bank digital currency (CBDC) signals exert different effects on stock indices of different sectors. The issuance of CBDC will have a profound impact on financial markets. On the one hand, the issuance of CBDC will change the traditional form of currency and payment methods. On the other hand, the circulation of CBDC will improve the efficiency and transparency of the financial system and reduce the cost of financial transactions. Besides that, CBDC signals have different effects on stock indices of different sectors. First, the CBDC signal helps to improve the efficiency and service quality of financial institutions, attract more investors, and bring a positive impact to the development of finance stocks. However, it may also reduce the profitability of traditional financial institutions such as banks [1], resulting in a decline in investor confidence in these institutions, thereby negatively affecting finance stocks. Second, the CBDC signal promotes fintech innovation and upgrading, and improves the profitability and market competitiveness of the fintech industry [2,3]. In addition, the CBDC signal promotes digital transformation and upgrading, providing better infrastructure and service support for the development of modern information technology [4,5,6]. Finally, the CBDC signal promotes the development of digital payment and other fields, providing more opportunities and market space for innovative enterprises, and promoting the rapid development of innovation and entrepreneurship. In summary, CBDC signals have different effects on stock indices of different sectors.
The impact of CBDC on the macro and micro economy has attracted much attention. On the one hand, CBDC exerts an impact on the macro-economy. First, Barrdear and Kumhof [7] explored the macroeconomics of CBDC. Because of the lower real interest rates, distortionary taxes, and monetary transaction costs, CBDC issuance of 30% of the GDP, against government bonds could permanently raise the GDP by 3% [8,9]. Second, the association between the informal economy and CBDC was investigated. Oh and Zhang [10] found that CBDC can decrease informality, though this effect becomes weaker in countries with larger informal economies. Third, the relationship between CBDC and credit supply was also explored. Kim and Kwon [11] examined the implications of CBDC for credit supply and financial stability and found that the introduction of deposits in CBDC account decreased credit supply by banks, raised the nominal interest rate and lowered a bank's reserve-deposit ratio. Andolfatto [12] assessed the impact of CBDC on private banks and found that it increased financial inclusion and diminished the demand for cash when the interest-bearing CBDC was introduced. Fourth, CBDC exert effects on the macroeconomic policy. For example, Xin and Jiang [13] constructed a dynamic stochastic general equilibrium model to indicate that the CBDC can eliminate the zero lower bound constraint and stabilize the economic fluctuations caused by a negative interest rate policy. Shen and Hou [14] investigated China's CBDC and its impacts on monetary policy and payment competition.
On the other hand, CBDC plays an impact on the micro-economy. First, CBDC News exerts an effect on financial markets. For instance, Wang et al. [15] constructed the CBDC Uncertainty Index and CBDC Attention Index based on coverage of over 660 million news stories from LexisNexis News & Business between 2015-2021 to explore the effects of CBDC News on financial markets. They found that CBDC indices play a significant negative impact on the volatilities of the MSCI World Banks Index, the United States Economic Policy Uncertainty Index, and the FTSE All-World Index, but a positive impact on the volatilities of cryptocurrency markets [16,17,18], foreign exchange markets [19,20], bond markets [21], the Cboe Volatility Index, and gold. Scharnowski [22] explored the cryptocurrency investors view about CBDC, and showed that prices react asymmetrically to the speeches, increasing more strongly after speeches that take a more positive stance. Li et al. [16] explored how the fintech sector reacts to CBDC signals released by central banks and found a positively time-varying response of the fintech sector to the CBDC signals. Second, the relationship between CBDC and bank earnings management was investigated. Ozili [23] investigated the role of CBDC in bank earnings management and found that CBDC-induced bank disintermediation leads to a reduction in bank deposits, a reduction in bank lending and a likely reduction in reported earnings [24], further leading banks to use accruals to manage earnings. Third, the impact of CBDC variation on the firm's implied volatility also raised concern, which was explored by Lee et al. [25]. They indicated that the positive impact of variation of CBDC on the implied volatility of the firm.
A great deal of literature concentrates on the influence factor of the volatility of the stock market. First, macroeconomic factors, such as business cycles [26,27,28,29,30,31], economic policy uncertainty [32,33,34,35] and so on, can cause the fluctuation of stock indices. Shi and Liu [36] employed a nonparametric quantile causality method to investigate the causal relationships between stock price fluctuation and the business cycle for the Brazil, Russia, India, China, South Africa (BRICS) countries. Arouri et al. [37] explored the impact of economic policy uncertainty on the stock market and found that an increase in policy uncertainty significantly reduces stock returns and the effect is stronger and persistent during extreme volatility periods. Second, the behavioral decisions of companies also affect the volatility of stock indices [38,39,40,41,42]. For example, Lau et al. [43] investigated emerging markets and found that a wider coverage of "realized" corporate corruption reduces the stock market volatility. In addition, personal factors such as investor sentiment can also cause the stock indices to fluctuate [44,45,46,47,48,49]. Chung et al. [50] examined the asymmetry in the predictive power of the investor sentiment in the cross-section of stock returns across economic expansion and recession states. When the investors' optimism increases, the return predictability of the sentiment should be most pronounced in an expansion state.
Although much literature has focused on the impact of CBDC and the influence factor of the volatility of the stock market, the following aspects can be further studied. First, the impact of CBDC signals on the stock market volatility can be further studied. Second, whether there are differences in how different stock indices volatilities respond to CBDC signals is worth exploring further. In addition, for different lag periods, whether CBDC signals have heterogeneous effects on the volatility of different stock indices are also need to be further investigated.
The contribution of this paper is to extend the literature on the relationships between the CBDC signals and stock indices volatilities. First, this paper constructs the generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) model to explore how stock indices volatilities respond to the CBDC signals from an empirical perspective. Existing literature only explores the CBDC signals and fintech sector by employing the same frequency data model [16], which may lose the information of high-frequency data. However, we construct the mixed-frequency data model-GARCH-MIDAS model to explore the impact of CBDC signals on stock indices volatilities. The GARCH-MIDAS model allows us to better handle the links between stock indices volatilities, observed on a daily basis and CBDC signals that are sampled monthly. Second, we explore the heterogeneous effect of CBDC signals on four stock indices volatilities. The empirical findings show the heterogeneous effect of CBDC signals on the volatility of different stock indices. Furthermore, this paper further investigates the heterogenous impact of CBDC signals on the volatility of different stock indices for different lag periods. The results indicate that for various lag periods, CBDC signals have a heterogeneous effect on the volatility of stock indices in different sectors.
The rest of the paper is organized as follows. In Section 2, we describe the GARCH-MIDAS model, variables, data source and descriptive statistics. Section 3 reports the empirical results of the heterogenous impact of CBDC signals on the volatility of stock indices. The heterogeneous effects at different lag period are presented in Section 4. Section 5 presents the conclusion.
2.
Method and variables
In this section, we provide a conceptual framework for our method, variables and data. The GARCH-MIDAS model is employed to investigate the heterogenous impact of CBDC signals on the different volatility of stock indices in Section 2.1. In addition, various measurements of CBDC signals and the different volatility of stock indices and their corresponding data source are presented in Section 2.2. Furthermore, descriptive statistics of variables are presented in Section 2.3.
2.1. GARCH-MIDAS model
In this paper, the GARCH-MIDAS model is employed to investigate the heterogenous impact of CBDC signals on the volatility of different stock indices. The mixed frequency data model outperforms the same traditional frequency data model, which maintains and uses the original data information, thereby avoiding the damage of data information under the influence of uncontrollable human factors. Moreover, it has comparative advantages in the accuracy of estimation results and prediction accuracy. The GARCH-MIDAS model, proposed by Engle and Rangel [51] and Engle et al. [52], is able to handle mixed-frequency data and incorporate low-frequency variables directly into the long-term component, and has been proven to be a powerful mixed frequency data model for analyzing the link between financial volatility and the macro-economy [53,54,55]. The GARCH-MIDAS model comprehensively considers the characteristics of monthly CBDC signals and different daily stock indices volatilities and takes the accuracy of low-frequency CBDC signals and the timeliness of the high-frequency volatility of different stock indices into account. Therefore, the GARCH-MIDAS model allows us to better handle the links between daily stock indices volatilities and monthly CBDC signals.
The GARCH-MIDAS model divides the conditional variance of the traditional GARCH model into two parts: the short-term volatility and the long-term volatility . The short-term volatility is driven by a GARCH process of stock indices volatilities, while the long-term volatility is given by the MIDAS regression of CBDC signals. Therefore, the GARCH-MIDAS model can be formally expressed, where the return of stock indices on day of month is given as follows:
(1)
where the return of stock indices is represented as , is the closing price on day of month. presents the conditional expectation of stock indices returns. and represents the long-term and short-term volatility component, respectively. denotes the innovation term. denotes the trading days of month.
The short-term volatility component follows the following GARCH (1, 1) process:
(2)
where denotes the degree of volatility clustering of the stock indices; the larger the β, the stronger the volatility clustering of the stock indices. Besides that, , and .
The long-term volatility component is calculated by the following MIDAS regression:
(3)
where is a uncertain weight function, denotes the CBDC signals, the coefficient indicates the influence of CBDC signals on stock indices volatilities, and is the number of periods (time lags) for smoothing the long-term volatility. Following Engle and Rangel [48], the weighting scheme is assigned by the Beta function:
(4)
where are the two parameters of the beta function. Considering the monotonically decreasing property of the weight function, we assume = 1. Therefore,
(5)
where the sum of is equal to 1.
2.2. Variables and data source
This analysis draws on the time series data of China spanning from 2013 to 2023. In this paper, there are two categories of data sampling: daily and monthly frequencies.
The daily data consists of four returns which are available from the CNI Indices website: the IT Index, Finance index, Fintech index and ChiNext Innovation indices. In the following empirical analysis, four stock indices are transferred to logarithm returns. The codes and samples of the four stock indices are presented in Table 1. The reasons of choosing these four stock indices are twofold. On the one hand, these four stock indices are closely linked to CBDC. On the other hand, these four stock indices, including finance, technology, fintech and innovation and entrepreneurship, have taken different responses to CBDC signals. Considering the availability of data, the sample period of these four stock indices spans from January 4, 2013 to March 16, 2023, with a total of 2, 477 observations. Figure 1 presents the trends of the returns of the IT Index, Finance index, Fintech index and ChiNext Innovation index, respectively. As can be seen from Figure 1, the return trends for the four stock indices are heterogeneous. We can find heterogeneous price return movements across the four indices most of the time, indicating a high heterogeneity of stock markets.
Table 1.
The stock indices.
Index
Code
Sample
IT Index
399239
IT Index selects all non-ST and *ST Shenzhen A shares belonging to the information technology category.
Finance Index
399240
The Finance index selects all non-ST and *ST Shenzhen A shares belonging to the financial industry category.
Fintech
399699
The Fintech index is based on the sample of financial technology companies listed on the Shenzhen Stock Exchange and Shanghai Stock Exchange, and selects listed companies whose business fields belong to the financial technology industry and sub-sectors.
ChiNext Innovation
399018
The ChiNext Innovation index select the top 100 stocks in the ChiNext Market of the Shenzhen Stock Exchange.
Figure 1.
The trends of four stock indices return.
Notes: The trends of four stock indices return for the entire sample period. From top to bottom, figures plot the returns of the IT Index, Finance index, Fintech index and ChiNext Innovation index, respectively. The data span from January 4, 2013 to March 16, 2023.
The monthly data is the CBDC signal constructed by Li et al. [16]. The CBDC signal was obtained from the news of the People's Bank of China through text analysis method, which was developed in the following steps. First, they employed the Python crawler method to collect 1, 000 information articles related to the CBDC from Baidu. Second, they used the demo keyword extraction method to extract the following 16 keywords associated with the CBDC from all information articles: CBDC, Digital Currency Electronic Payment (DCEP), digital RMB, digital currency, bitcoin, virtual currency, e-wallet, e-payment, cryptocurrency, e-cash, digital economy, digital finance, financial technology, cloud computing, blockchain, and online consumption. Third, they manually extracted news texts (excluding noisy texts, such as commemorative coin releases) from the press release page of the People's Bank of China website and summarize them by month. The original time frequency for news was daily; they converted it to a monthly frequency because there were numerous CBDC signals with zero values in the daily frequency. Fourth, they selected all sentences containing the keywords as "sentences related to CBDC" in the news texts. Fifth, they calculated the CBDC signal as monthly CBDC signal = monthly word number of relevant sentences/ monthly total number of words in the news. Their data spans from January 2012 to February 2022. In this paper, considering timeliness, we continued their calculation method to expand the sample to March 2023. Besides that, the four stock index data are available from 2013. Therefore, the CBDC signal covers the time horizon through January 2013 to March 2023, covering 123 months. Figure 2 presents the trend of CBDC signals.
Figure 2.
The trend of CBDC signal.
Notes: The trend of CBDC signal for the entire sample period. Monthly CBDC signal covers from January 2013 to March 2023.
Table 2 reports the descriptive statistics of four stock indices returns and CBDC signals, where the data frequency, observations, mean, standard deviation, the minimum and maximum, range, skewness, kurtosis and J-B statistic are reported.
Table 2.
Descriptive statistics.
Variable
IT
Finance
Fintec
Eninno
signal
Freq.
Daily
Daily
Daily
Daily
Monthly
Obs.
2477
2477
2477
2477
123
Mean
0
0
0.001
0.001
0.023
Std. dev.
0.021
0.02
0.021
0.02
0.029
Min
-0.095
-0.099
-0.098
-0.093
0
Max
0.071
0.09
0.075
0.071
0.164
Range
0.166
0.189
0.173
0.164
0.164
Skewness
-0.477
-0.076
-0.43
-0.615
2.557
Kurtosis
4.92
7.149
5.035
5.443
11.094
J-B
474.09***
1779.3***
503.61***
771.82***
9453.4***
Notes: (1) The reported descriptive statistics include the data frequency (Freq.), observations (Obs.), mean, standard deviation (Std. dev.), the minimum (Min) and maximum (Max), Range, Skewness, Kurtosis and J-B statistic of the return of IT index (IT), Finance index (Finance), Fintech index (Fintec), Entrepreneurship and innovation index (Eninno) and CBDC signal. (2) The sample of four indexes span from January 4, 2013 to March 16, 2023 and CBDC signal covers from January 2013 to March 2023. (3) ***, **, * denote the null hypothesis is rejected at 1, 5, 10% statistical significance level respectively.
As shown in Table 2, the mean of four stock indices return time series were almost zero, while the mean of the IT Index and the Finance index were 0, and the mean of the Fintech index and the ChiNext Innovation indices were 0.001. This is similar to the standard deviation of these four stock indices returns. However, the range shows that the return of the four indices are heterogenous. Besides that, it is obvious that the skewness of the four stock indices return are negative, implying that the four stock indices returns are left-skewed. Additionally, the skewness of the CBDC signal is positive, indicating that the CBDC signal is right skewed. From the kurtosis of all five variables, we know that the five variables are leptokurtic. Furthermore, the Jarque-Bera (J-B) statistics results also indicate that these four stock indices returns and CBDC signals are not normally distributed at the 1% significance level.
3.
Empirical results
In this section, we investigate the heterogeneous effect of CBDC signals on the volatility of stock indices across different sectors. First, we conducted the unit root and autocorrelation tests of the IT Index, Finance index, Fintech index, ChiNext Innovation indices and CBDC signal. Then, we construct a GARCH-MIDAS model to explore the heterogeneous effect of CBDC signals on different stock indices.
Table 3 presents the results of the unit root and autocorrelation tests. First, we used the ADF test to verify the stationary of five variables. From Table 3, the ADF test of all variables reject the null hypothesis at a 1% significance, which proved that five series are all stationary. Besides that, the Ljung-Box statistics and Box-Pierce test are all significant at the 1% significance level, which rejects the null hypothesis of no autocorrelation, indicating that all variables have a strong autocorrelation. Therefore, we further adopt the GARCH- MIDAS model to explore the heterogenous impact of the CBDC signal on the volatilities of different stock indies.
Table 3.
Unit root and autocorrelation tests.
Variable
ADF
Q(8)
BP
IT
−13.185***
22.142***
652.300***
Finance
-12.708***
26.630***
614.740***
Fintec
-13.269***
17.123**
725.930***
ChiNext
-13.357***
16.503**
899.680***
signal
-8.1137***
14044***
14449***
Notes: (1) This table reported the unit root and autocorrelation test results, which include Augmented Dickey-Fuller unit root test (ADF), Ljung-Box test (Q(8)) and Box-Pierce test (BP) of the return of IT index (IT), Finance index (Finance), Fintech index (Fintec), Entrepreneurship and innovation index (ChiNext) and CBDC signal. (2) The sample of four indexes span from January 4, 2013 to March 16, 2023 and CBDC signal covers from January 2013 to March 2023. (3) ***, **, * denote the null hypothesis is rejected at 1, 5, 10% statistical significance level respectively.
In this section, we employ the GARCH-MIDAS model to quantitatively capture the impacts of the CBDC signal on the volatilities of four stock indies. Table 4 presents the estimation results of GARCH-MIDAS model at lag periods K = 24.
Table 4.
Results of Garch Midas model (K = 24).
IT
Finance
Fintec
ChiNext
-0.019
-0.003
0.000
0.017
(0.040)
(0.036)
(0.102)
(0.038)
0.049***
0.050***
0.048***
0.055***
(0.017)
(0.016)
(0.014)
(0.017)
0.935***
0.936***
0.936***
0.929***
(0.025)
(0.021)
(0.021)
(0.024)
m
1.525***
1.098***
1.528***
1.366***
(0.216)
(0.279)
(0.231)
(0.220)
-7.841**
5.190
-7.117
-7.179*
(3.977)
(5.785)
(5.136)
(3.815)
19.139**
1.000
13.208*
18.853**
(7.667)
(1.587)
(7.469)
(7.916)
Notes: (1) This table reports the parameter estimates of all four models when the lag period K = 24. (2) The numbers in the parentheses are the standard deviation. (3) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
CBDC signals have a heterogeneous effect on the long-term volatility of stock indices across different sectors. As an example, while observing the 24-month lag, the CBDC signal has a significant negative impact on the long-term volatility of the IT and ChiNext Innovation indices, but has no significant impact on the long-term volatility of the Financial and Fintech indices. First, apart from μ, most of the estimated coefficients are significant, indicating that the GARCH-MIDAS model fits the volatility of the four stock indices well. Second, all the values of and are significantly different from 0 at the 1% significance level, and the sum of and for all stock indices are close but less than 1, which implies the short-term volatility of the four stock indices returns have clustering features. Third, CBDC signals have a heterogeneous impact on the long-term volatility of stock indices returns across different sectors. The parameter θ indicates the impact of the CBDC signal on the long- term volatility of the stock index return. As can be seen in Table 4, the parameter θ of IT and ChiNext are negative and significant at the 5 and 10% level, respectively. The results indicate that CBDC signals play a negative impact on the long-term volatility of IT stock indices returns and Innovation and Entrepreneurship Stock Index return. However, the θ of finance and fintech are insignificant at the 10% level, which implies that the impact of CBDC signals on the long-term volatility of financial indices returns and fintech indices returns are insignificant. These findings present strong evidence that CBDC signals have a heterogeneous influence on the volatilities of different stock indices returns.
We further employed the asymmetric Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) MIDAS model to capture the asymmetric impacts of the CBDC signal on the volatilities of four stock indices. Table 5 shows the estimation results of the asymmetric GJR-GARCH MIDAS model at lag periods K = 24.
Table 5.
Results of asymmetric GJR-GARCH MIDAS model (K = 24).
IT
Finance
Fintec
ChiNext
−0.026
-0.007
-0.008
0.008
(0.039)
(0.036)
(0.040)
(0.037)
0.044***
0.046***
0.042***
0.045***
(0.012)
(0.016)
(0.011)
(0.012)
0.921***
0.934***
0.922***
0.919***
(0.036)
(0.024)
(0.031)
(0.031)
γ
0.027
0.010
0.029
0.031
(0.030)
(0.020)
(0.030)
(0.027)
m
1.571***
1.217***
1.596***
1.364***
(0.231)
(0.237)
(0.272)
(0.232)
-8.914**
0.699
-8.468
-7.216*
(4.481)
(1.265)
(6.682)
(4.205)
17.945**
1.000
11.977
17.269**
(7.368)
(1.832)
(9.534)
(8.098)
Notes: (1) This table reports the parameter estimates of asymmetric GJR-GARCH MIDAS model when the lag period K = 24. (2) γ is the coefficient to quantify the volatility leverage effect. (3) The numbers in the parentheses are the standard deviation. (4) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
The leverage effect of CBDC signals on the long-term volatility of different stock indices are insignificant. From Table 5, all the values of and are significantly different from 0 at the 1% significance level, and the sum of , and for all stock indices are close but less than 1, which implies the short-term volatility of the four stock indices returns have clustering features. Besides that, the coefficients of γ are insignificant, which indicate that the leverage effect of CBDC signals on the long-term volatility of different stock indices are insignificant. These findings present strong evidence that CBDC signals have an insignificant leverage effect of CBDC signals on the long-term volatility of different stock indices.
4.
Heterogeneous effects at different lag period
In this section, we further investigate the heterogeneous effect of CBDC signals on the volatility of stock indices across different sectors at different lag periods. Table 6 present the results of the GARCH-MIDAS model at different lag periods. Panel A, B and C in this table reports the parameter estimates of all four models when the lag period K = 3, 6 and 12, respectively.
Table 6.
Results of GARCH-MIDAS model at different lag periods.
m
Panel A: K = 3
IT
0.012
0.045***
0.940***
1.406***
-3.872
2.337**
(0.037)
(0.012)
(0.018)
(0.184)
(2.853)
(0.951)
Finance
0.020
0.056***
0.927***
1.317***
-3.119*
20.409
(0.033)
(0.016)
(0.021)
(0.195)
(1.854)
(19.951)
Fintec
0.028
0.034***
0.966***
-0.180
-3.405
1.571
(0.043)
(0.010)
(0.009)
(0.932)
(3.370)
(0.975)
ChiNext
0.035
0.048***
0.937***
1.274***
-3.610
3.023*
(0.035)
(0.012)
(0.018)
(0.181)
(2.527)
(1.682)
Panel B: K = 6
IT
0.006
0.046***
0.940***
1.302***
0.922***
1.000*
(0.037)
(0.012)
(0.017)
(0.159)
(0.328)
(0.521)
Finance
0.021
0.057***
0.926***
1.322***
-3.096
26.216
(0.033)
(0.015)
(0.020)
(0.198)
(1.917)
(49.861)
Fintec
0.028
0.049***
0.935***
1.458***
-4.173
2.936**
(0.037)
(0.011)
(0.017)
(0.200)
(4.391)
(1.354)
ChiNext
0.032
0.050***
0.935***
1.324***
-5.267
3.541*
(0.035)
(0.012)
(0.017)
(0.193)
(3.455)
(1.990)
Panel C: K = 12
IT
0.004
0.054***
0.929***
1.566***
-9.756**
7.682***
(0.037)
(0.012)
(0.017)
(0.203)
(4.218)
(2.820)
Finance
0.018
0.045***
0.955***
-0.160
-12.554
4.386
(0.043)
(0.015)
(0.012)
(3.316)
(13.672)
(6.629)
Fintec
0.023
0.051***
0.931***
1.575***
-8.454*
6.740**
(0.038)
(0.011)
(0.016)
(0.204)
(4.698)
(3.259)
ChiNext
0.031
0.055***
0.929***
1.397***
-8.326**
9.330**
(0.034)
(0.013)
(0.017)
(0.205)
(3.942)
(4.684)
Notes: (1) The Panel A, B and C in this table reports the parameter estimates of all four models when the lag period K = 3, 6 and 12, respectively. (2) The numbers in the parentheses are the standard deviation. (3) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
For different lag periods, CBDC signals exerts a heterogeneous impact on the long-term volatility of different stock indices. Specifically, when lagging for 3 months, CBDC signals only have a significant negative impact on the long-term volatility of the financial stock indices. First, apart from μ, most of the estimated coefficients are significant, indicating that the GARCH-MIDAS model fits the volatility of the four stock indices well for a lag period of 3. Second, all the values of and are significantly different from 0 at the 1% significance level, and the sum of and for all stock indices are close but less than 1, which implies the short-term volatility of four stock indices returns have clustering features for a lag period of 3. Third, CBDC signals have a heterogeneous impact on the long-term volatility of the stock indices return across different sectors for a lag period of 3. As can be seen in Table 6, the parameter θ of Finance stock indices are negative and significant at the 1% significance level. The results indicate that CBDC signals play a negative impact on the long-term volatility of Finance stock indices returns. However, the θ of IT, Fintech and ChiNext stock indices are insignificant, which implies that the impact of CBDC signals on the long-term volatility of IT stock indices returns, Fintech stock indices returns and Innovation and Entrepreneurship stock index returns are insignificant. In conclusion, CBDC signals have a heterogeneous influence on the volatilities of different stock indies returns for a lag period of 3.
When lagging for 6 months, CBDC signals only have a significant positive impact on the long-term volatility of the IT stock indices. First, apart from μ, most of the estimated coefficients are significant, indicating that the GARCH-MIDAS model fits the volatility of the four stock indices well for a lag period of 6. Second, all the values of and are significantly different from 0 at the 1% significance level, and the sum of and for all stock indices are close but less than 1, which implies the short-term volatility of four stock indices returns from the GARCH-MIDAS model have strong volatility clustering for a lag period of 6. Third, CBDC signals have a heterogeneous impact on the long-term volatility of stock indices returns across different sectors for a lag period of 6. As can be seen in Table 6, the parameter θ of IT stock indices are positive and significant at the 1% significance level. The results indicate that CBDC signals play a positive impact on the long- term volatility of IT stock indices returns. However, the θ of Finance, Fintech and ChiNext stock indices are insignificant at the 10% level, which implies that CBDC signals exert insignificant impacts on the long-term volatility of Financial stock indices returns, Fintech indices returns and Innovation and Entrepreneurship stock index returns. These findings show that CBDC signals have a heterogeneous influence on the volatilities of different stock indices returns for a lag period of 6.
When lagging for 12 months, CBDC signals have a significant negative impact on the long-term volatility of the IT, Fintech and ChiNext Innovation stock indices. First, apart from μ, most of the estimated coefficients are significant, indicating that the GARCH-MIDAS model fits the volatility of the four stock indices well for a lag period of 12. Second, all the values of and are significantly different from 0 at the 1% significance level, and the sum of and for all stock indices are close but less than 1, which indicates the short-term volatility of the four stock indices returns from the GARCH-MIDAS models have strong volatility clustering for a lag period of 12. Third, CBDC signals have a heterogeneous impact on the long-term volatility of stock indices returns across different sectors for a lag period of 12. As can be seen in Table 6, the parameter θ of IT and ChiNext stock indices are negative and significant at the 5% level. The results indicate that CBDC signals play a negative impact on the long-term volatility of IT stock indices returns and innovation and entrepreneurship stock index returns. The parameter θ of Fintech stock indices are negative and significant at the 10% significance level, indicating the negative effect of CBDC signals on the Fintech stock indices returns. However, the θ of Finance stock indices are insignificant, which implies that the impact of CBDC signals on the long-term volatility of financial stock indices returns is insignificant. These findings strongly indicate that CBDC signals have a heterogeneous influence on the volatilities of different stock indices returns for a lag period of 12.
To sum up, CBDC signals exert a heterogeneous impact on the long-term volatility of different stock indices returns for different lag periods.
5.
Conclusions
Based on the mixing frequency data, including monthly CBDC signals and daily different stock indices, this paper constructs the GARCH-MIDAS model to examine whether the CBDC signal plays various impact on different stock indices. The mixing frequency data spans from January 2013 to March 2023. And we yield the following conclusions.
First, CBDC signals have a heterogeneous effect on the long-term volatility of stock indices across different sectors. Specifically, taking a lag of 24 months as an example, the CBDC signal has a significant negative impact on the long-term volatility of the IT and entrepreneurship sector indices; however, it has no significant impact on the long-term volatility of the financial and fintech indices.
Second, for different lag periods, CBDC news has a heterogeneous impact on the long-term volatility of different sector stock indices. Specifically, when lagging for 3 months, CBDC signals only have a significant negative impact on the long-term volatility of the financial sector index. When lagging for 6 months, CBDC signals only have a significant positive impact on the long-term volatility of the IT sector index. When lagging for 12 months, CBDC signals have a significant negative impact on the long-term volatility of the IT, Entrepreneurship and Fintech sector indices. When lagging for 24 months, CBDC signals have a significant negative impact on the long-term volatility of the IT and Entrepreneurship Sector indices.
Future research could be conducted on at least two fronts. On the one hand, future research can include more economic variables such as investor sentiment to predict the Chinese stock indices volatilities. On the other hand, future study can focus on whether CBDC signals of other emerging or developed countries exert heterogeneous effect on the long-term volatility of their various stock indices.
Use of AI tools declaration
The authors declare they have not used artificial intelligence (AI) tools in the creation of this article.
Acknowledgments
We would like to thank the editor and anonymous reviewers for their patient and valuable comments on earlier versions of this paper.
Conflict of interest
The authors declare there is no conflict of interest.
References
[1]
Y. Tan, Z. H. Li, S. M. Liu, M. I. Nazir, M. Haris, Competitions in different banking markets and shadow banking: Evidence from China, Int. J.. Emerg. Mark., 17 (2022), 1465–1483. https://doi.org/10.1108/ijoem-04-2020-0401 doi: 10.1108/ijoem-04-2020-0401
[2]
Z. Li, H. Chen, B. Mo, Can digital finance promote urban innovation? Evidence from China, Borsa Istanbul Rev., 23 (2023), 285–296. https://doi.org/10.1016/j.bir.2022.10.006 doi: 10.1016/j.bir.2022.10.006
[3]
Z. H. Huang, G. K. Liao, Z. H. Li, Loaning scale and government subsidy for promoting green innovation, Technol. Forecasting Soc. Change, 144 (2019), 148–156. https://doi.org/10.1016/j.techfore.2019.04.023 doi: 10.1016/j.techfore.2019.04.023
[4]
Z. H. Li, Z. M. Huang, Y. Y. Su, New media environment, environmental regulation and corporate green technology innovation: Evidence from China, Energ. Econ., 119 (2023), 106545. https://doi.org/10.1016/j.eneco.2023.106545 doi: 10.1016/j.eneco.2023.106545
[5]
T. Li, X. Li; G. Liao, Business cycles and energy intensity. Evidence from emerging economies, Borsa Istanbul Rev., 22 (2021), 560–570. https://doi.org/10.1016/j.bir.2021.07.005 doi: 10.1016/j.bir.2021.07.005
[6]
Z. H. Huang, H. Dong, S. S. Jia, Equilibrium pricing for carbon emission in response to the target of carbon emission peaking, Energ. Econ., 112 (2022), 106160. https://doi.org/10.1016/j.eneco.2022.106160 doi: 10.1016/j.eneco.2022.106160
[7]
J. Barrdear, M. Kumhof, The macroeconomics of central bank digital currencies, J. Econ. Dyn. Control, 142 (2022), 104148. https://doi.org/10.1016/j.jedc.2021.104148 doi: 10.1016/j.jedc.2021.104148
[8]
Z. H. Li, B. Mo, H. Nie, Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China, Int. Rev. Econ. Financ., 86 (2023), 46–57. https://doi.org/10.1016/j.iref.2023.01.015 doi: 10.1016/j.iref.2023.01.015
[9]
Z. H. Li, H. Dong, C. Floros, A. Charemis, P. Failler, Re-examining Bitcoin Volatility: A CAViaR-based Approach, Emerg. Mark. Financ. Trade, 19 (2021), 1320–1338. https://doi.org/10.1080/1540496x.2021.1873127 doi: 10.1080/1540496x.2021.1873127
[10]
E. Y. Oh, S. Zhang, Informal economy and central bank digital currency, Econ. Inq., 60 (2022), 1520–1539. https://doi.org/10.1111/ecin.13105 doi: 10.1111/ecin.13105
[11]
Y. S. Kim, O. Kwon, Central bank digital currency, credit supply, and financial stability, 55 (2023), 297–321. https://doi.org/https://doi.org/10.1111/jmcb.12913
[12]
D. Andolfatto, Assessing the impact of central bank digital currency on private banks, Econ. J., 131 (2021), 525–540. https://doi.org/10.1093/ej/ueaa073 doi: 10.1093/ej/ueaa073
[13]
B. Xin, K. Jiang, Central bank digital currency and the effectiveness of negative interest rate policy: A DSGE analysis, Res. Int. Bus. Financ., 634 (2023), 525–540. https://doi.org/10.1016/j.ribaf.2023.101901 doi: 10.1016/j.ribaf.2023.101901
[14]
W. Shen, L. Hou, China's central bank digital currency and its impacts on monetary policy and payment competition: Game changer or regulatory toolkit?, Comput. law Secur. Rev., 41 (2021), 105577. https://doi.org/10.1016/j.clsr.2021.105577 doi: 10.1016/j.clsr.2021.105577
[15]
Y. Wang, B. M. Lucey, S. A. Vigne, L. Yarovaya, The effects of central bank digital currencies news on financial markets, Tech. Forecast. Soc. Change, 180 (2022), 121715. https://doi.org/10.1016/j.techfore.2022.121715 doi: 10.1016/j.techfore.2022.121715
[16]
Z. H. Li, C. Y. Yang, Z. H. Huang, How does the fintech sector react to signals from central bank digital currencies?, Financ. Res. Lett., 50 (2022), 103308. https://doi.org/10.1016/j.frl.2022.103308 doi: 10.1016/j.frl.2022.103308
[17]
Z. H. Li, L. M. Chen, H. Dong, What are bitcoin market reactions to its-related events?, Int. Rev. Econ. Financ., 73 (2021), 1–10. https://doi.org/10.1016/j.iref.2020.12.020 doi: 10.1016/j.iref.2020.12.020
[18]
A. K. Bharti, Asymmetrical herding in cryptocurrency: Impact of COVID 19, Quant. Financ. Econ., 6 (2022), 326–341. https://doi.org/10.3934/qfe.2022014 doi: 10.3934/qfe.2022014
[19]
S. L. Chen, S. M. Liu, R. J. Cai, Y. Y. Zhang, The factors that influence exchange-rate risk: Evidence in China, Emerg. Mark. Financ. Trade,56 (2020), 1275–1292. https://doi.org/10.1080/1540496x.2019.1636229 doi: 10.1080/1540496x.2019.1636229
[20]
Z. H. Li, Z. H. Huang, H. Dong, The influential factors on outward foreign direct investment: Evidence from the "The Belt and Road", Emerg. Mark. Financ. Trade,55 (2019), 3211–3226. https://doi.org/10.1080/1540496x.2019.1569512 doi: 10.1080/1540496x.2019.1569512
[21]
S. A. Gyamerah, B. E. Owusu, E. K. Akwaa-Sekyi, Modelling the mean and volatility spillover between green bond market and renewable energy stock market, Green Financ., 4 (2022), 310–328. https://doi.org/10.3934/gf.2022015 doi: 10.3934/gf.2022015
[22]
S. Scharnowski, Central bank speeches and digital currency competition, Financ. Res. Lett., 49 (2022), 103072. https://doi.org/10.1016/j.frl.2022.103072 doi: 10.1016/j.frl.2022.103072
[23]
P. K. Ozili, Central bank digital currency and bank earnings management using loan loss provisions, Digit. Policy Regul. Governance J., 25 (2023), 206–220. https://doi.org/10.1108/DPRG-11-2022-0139 doi: 10.1108/DPRG-11-2022-0139
[24]
S. Rahman, I. H. Moral, M. Hassan, G. S. Hossain, R. Perveen, Review a systematic review of green finance in the banking industry: perspectives from a developing country, Green Financ., 4 (2022), 347–363. https://doi.org/10.3934/gf.2022017 doi: 10.3934/gf.2022017
[25]
C. C. Lee, C. W. Wang, H. Y. Hsieh, W. L. Chen, The impact of central bank digital currency variation on firm's implied volatility, Res. Int. Bus. Financ.,64 (2023), 101878. https://doi.org/10.1016/j.ribaf.2023.101878 doi: 10.1016/j.ribaf.2023.101878
[26]
W. H. You, Y. W. Guo, H. M. Zhu, Y. Tang, Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression, Energ. Econ., 68 (2017), 1–18. https://doi.org/10.1016/j.eneco.2017.09.007 doi: 10.1016/j.eneco.2017.09.007
[27]
L. Pastor, P. Veronesi, Uncertainty about government policy and stock prices, J. Financ., 67 (2012), 1219–1264. https://doi.org/10.1111/j.1540-6261.2012.01746.x doi: 10.1111/j.1540-6261.2012.01746.x
[28]
S. Chen, J. Zhong, P. Failler, Does China transmit financial cycle spillover effects to the G7 countries?, Econ. Res.-Ekon. Istraž., 35 (2022), 5184–5201. https://doi.org/10.1080/1331677x.2021.2025123 doi: 10.1080/1331677x.2021.2025123
[29]
T. H. Li, J. H. Zhong, Z. M. Huang, Potential dependence of financial cycles between emerging and developed countries: Based on ARIMA-GARCH copula model, Emerg. Mark. Financ. Trade, 56 (2020), 1237–1250. https://doi.org/10.1080/1540496x.2019.1611559 doi: 10.1080/1540496x.2019.1611559
[30]
S. Deniz, Volatility spillovers among MIST stock markets, Data Sci. Financ. Econ., 2 (2022), 80–95. https://doi.org/10.3934/DSFE.2022004 doi: 10.3934/DSFE.2022004
[31]
P. Maria, M. Annalisa, T. Giacomo, Z. Lea, The informative value of central banks talks: A topic model application to sentiment analysis, Data Sci. Financ. Econ., 2 (2022), 181–204. https://doi.org/10.3934/DSFE.2022009 doi: 10.3934/DSFE.2022009
[32]
J. Park, R. A. Ratti, Oil price shocks and stock markets in the US and 13 European countries, Energy Econ., 30 (2008), 2587–2608. https://doi.org/10.1016/j.eneco.2008.04.003 doi: 10.1016/j.eneco.2008.04.003
[33]
G. K. Liao, P. Hou, X. Y. Shen, K. Albitar, The impact of economic policy uncertainty on stock returns: The role of corporate environmental responsibility engagement, Int. J. Financ. Econ., 26 (2021), 4386–4392. https://doi.org/10.1002/ijfe.2020 doi: 10.1002/ijfe.2020
[34]
Z. H. Li, J. H. Zhong, Impact of economic policy uncertainty shocks on China's financial conditions, Financ. Res. Lett., 35 (2020), 101303. https://doi.org/10.1016/j.frl.2019.101303 doi: 10.1016/j.frl.2019.101303
[35]
Y. Jiang, G. Tian, Y. Wu, B. Mo, Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock, Int. J. Financ. Econ., 27 (2022), 320–333. https://doi.org/10.1002/ijfe.2155 doi: 10.1002/ijfe.2155
[36]
G. P. Shi, X. X. Liu, Stock price fluctuation and the business cycle in the BRICS countries: A nonparametric quantiles causality approach, Financ. Res. Lett., 33 (2020), 101223. https://doi.org/10.1016/j.frl.2019.06.021 doi: 10.1016/j.frl.2019.06.021
[37]
M. Arouri, C. Estay, C. Rault, D. Roubaud, Economic policy uncertainty and stock markets: Long-run evidence from the US, Financ. Res. Lett., 18 (2016), 136–141. https://doi.org/10.1016/j.frl.2016.04.011 doi: 10.1016/j.frl.2016.04.011
[38]
S. Chen, Y. Wang, K. Albitar, Z. Huang, Does ownership concentration affect corporate environmental responsibility engagement? The mediating role of corporate leverage, Borsa Istanbul Rev., 21 (2021), S13–S24. https://doi.org/10.1016/j.bir.2021.02.001 doi: 10.1016/j.bir.2021.02.001
[39]
Y. Liu, Z. H. Li, M. R. Xu, The influential factors of financial cycle spillover: Evidence from China, Emerg. Mark. Financ. Trade, 56 (2020), 1336–1350. https://doi.org/10.1080/1540496x.2019.1658076 doi: 10.1080/1540496x.2019.1658076
[40]
Z. Li, G. Liao, K. Albitar, Does corporate environmental responsibility engagement affect firm value? The mediating role of corporate innovation, Bus. Strategy Environ., 29 (2019), 1045–1055. https://doi.org/10.1002/bse.2416 doi: 10.1002/bse.2416
[41]
Y. H. Jiang, G. Y. Tian, B. Mo, Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries, Financ. Innov., 6 (2020). https://doi.org/10.1186/s40854-020-00208-y doi: 10.1186/s40854-020-00208-y
[42]
J. K. Sra, A. L. Booth, R. A. K. Cox, Voluntary carbon information disclosures, corporate-level environmental sustainability efforts, and market value, Green Financ., 4 (2022), 179–206. https://doi.org/10.3934/gf.2022009 doi: 10.3934/gf.2022009
[43]
C. K. M. Lau, E. Demir, M. H. Bilgin, Experience-based corporate corruption and stock market volatility: Evidence from emerging markets, Emerg. Mark. Rev., 17 (2013), 1–13. https://doi.org/10.1016/j.ememar.2013.07.002 doi: 10.1016/j.ememar.2013.07.002
[44]
P. C. Tetlock, Giving content to investor sentiment: The role of media in the stock market, J. Financ., 62 (2007), 1139–1168. https://doi.org/10.1111/j.1540-6261.2007.01232.x doi: 10.1111/j.1540-6261.2007.01232.x
[45]
D. Zhang, J. Engelberg, P. J. Gao, The sum of All FEARS investor sentiment and asset prices, Rev. Financ. Stud., 28 (2015), 1–32. https://doi.org/10.1093/rfs/hhu072 doi: 10.1093/rfs/hhu072
[46]
G. Kaplanski, H. Levy, Sentiment and stock prices: The case of aviation disasters, J. Financ. Econ., 95 (2010), 174–201. https://doi.org/10.1016/j.jfineco.2009.10.002 doi: 10.1016/j.jfineco.2009.10.002
[47]
S. K. Agyei, A. Bossman, Investor sentiment and the interdependence structure of GⅡPS stock market returns: A multiscale approach, Quant. Financ. Econ., 7 (2023), 87–116. https://doi.org/10.3934/qfe.2023005 doi: 10.3934/qfe.2023005
[48]
Y. Chen, Z. Huang, Measuring the effects of investor attention on China's stock returns, Data Sci. Financ. Econ., 1 (2021), 327–344. https://doi.org/10.3934/DSFE.2021018 doi: 10.3934/DSFE.2021018
[49]
Z. Li, Z. Huang, P. Failler, Dynamic correlation between crude oil price and investor sentiment in China: Heterogeneous and asymmetric effect. Energies, 15 (2022), 687. https://doi.org/10.3390/en15030687 doi: 10.3390/en15030687
[50]
S. L. Chung, C. H. Hung, C. Y. Yeh, When does investor sentiment predict stock returns?, J. Empirical Financ., 19 (2012), 217–240. https://doi.org/10.1016/j.jempfin.2012.01.002 doi: 10.1016/j.jempfin.2012.01.002
[51]
R. F. Engle, J. G. Rangel, The Spline-GARCH model for low-frequency volatility and its global macroeconomic causes, Rev. Financ. Stud., 21 (2008), 1187–1222. https://doi.org/10.1093/rfs/hhn004 doi: 10.1093/rfs/hhn004
[52]
R. F. Engle, E. Ghysels, B. Sohn, Stock market volatility and macroeconomic fundamentals, Rev. Econ. Stat., 95 (2013), 776–797. https://doi.org/10.1162/REST_a_00300 doi: 10.1162/REST_a_00300
[53]
Z. Li, F. Zou, B. Mo, Does mandatory CSR disclosure affect enterprise total factor productivity?, Econ. Res.-Ekon. Istraž., 35 (2021), 1–20. https://doi.org/10.1080/1331677x.2021.2019596 doi: 10.1080/1331677x.2021.2019596
[54]
Y. Zheng, Z. Wang, Z. Huang, T. Jiang, Comovement between the Chinese business cycle and financial volatility: Based on a DCC-MIDAS model, Emerg. Mark. Financ. Trade, 56 (2020), 1181–1195. https://doi.org/10.1080/1540496x.2019.1620100 doi: 10.1080/1540496x.2019.1620100
[55]
S. Charfi, F. Mselmi, Modeling exchange rate volatility: application of GARCH models with a Normal Tempered Stable distribution, Quant. Financ. Econ., 6 (2022), 206–222. https://doi.org/10.3934/qfe.2022009 doi: 10.3934/qfe.2022009
This article has been cited by:
1.
Zheng Lü, Oguzhan Ozcelebi, Seong-Min Yoon,
Impact of central bank digital currency uncertainty on international financial markets,
2025,
73,
02755319,
102627,
10.1016/j.ribaf.2024.102627
2.
Shah Fahad, Mehmet Bulut,
Central bank digital currencies: a comprehensive systematic literature review on worldwide research emergence and methods used,
2024,
39,
1935-5181,
137,
10.1108/AJB-12-2023-0210
Wenjie Li, Zimei Huang. Do different stock indices volatility respond differently to Central bank digital currency signals?[J]. Electronic Research Archive, 2023, 31(9): 5573-5588. doi: 10.3934/era.2023283
Wenjie Li, Zimei Huang. Do different stock indices volatility respond differently to Central bank digital currency signals?[J]. Electronic Research Archive, 2023, 31(9): 5573-5588. doi: 10.3934/era.2023283
IT Index selects all non-ST and *ST Shenzhen A shares belonging to the information technology category.
Finance Index
399240
The Finance index selects all non-ST and *ST Shenzhen A shares belonging to the financial industry category.
Fintech
399699
The Fintech index is based on the sample of financial technology companies listed on the Shenzhen Stock Exchange and Shanghai Stock Exchange, and selects listed companies whose business fields belong to the financial technology industry and sub-sectors.
ChiNext Innovation
399018
The ChiNext Innovation index select the top 100 stocks in the ChiNext Market of the Shenzhen Stock Exchange.
Notes: (1) The reported descriptive statistics include the data frequency (Freq.), observations (Obs.), mean, standard deviation (Std. dev.), the minimum (Min) and maximum (Max), Range, Skewness, Kurtosis and J-B statistic of the return of IT index (IT), Finance index (Finance), Fintech index (Fintec), Entrepreneurship and innovation index (Eninno) and CBDC signal. (2) The sample of four indexes span from January 4, 2013 to March 16, 2023 and CBDC signal covers from January 2013 to March 2023. (3) ***, **, * denote the null hypothesis is rejected at 1, 5, 10% statistical significance level respectively.
Notes: (1) This table reported the unit root and autocorrelation test results, which include Augmented Dickey-Fuller unit root test (ADF), Ljung-Box test (Q(8)) and Box-Pierce test (BP) of the return of IT index (IT), Finance index (Finance), Fintech index (Fintec), Entrepreneurship and innovation index (ChiNext) and CBDC signal. (2) The sample of four indexes span from January 4, 2013 to March 16, 2023 and CBDC signal covers from January 2013 to March 2023. (3) ***, **, * denote the null hypothesis is rejected at 1, 5, 10% statistical significance level respectively.
Notes: (1) This table reports the parameter estimates of all four models when the lag period K = 24. (2) The numbers in the parentheses are the standard deviation. (3) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
Table 5.
Results of asymmetric GJR-GARCH MIDAS model (K = 24).
IT
Finance
Fintec
ChiNext
−0.026
-0.007
-0.008
0.008
(0.039)
(0.036)
(0.040)
(0.037)
0.044***
0.046***
0.042***
0.045***
(0.012)
(0.016)
(0.011)
(0.012)
0.921***
0.934***
0.922***
0.919***
(0.036)
(0.024)
(0.031)
(0.031)
γ
0.027
0.010
0.029
0.031
(0.030)
(0.020)
(0.030)
(0.027)
m
1.571***
1.217***
1.596***
1.364***
(0.231)
(0.237)
(0.272)
(0.232)
-8.914**
0.699
-8.468
-7.216*
(4.481)
(1.265)
(6.682)
(4.205)
17.945**
1.000
11.977
17.269**
(7.368)
(1.832)
(9.534)
(8.098)
Notes: (1) This table reports the parameter estimates of asymmetric GJR-GARCH MIDAS model when the lag period K = 24. (2) γ is the coefficient to quantify the volatility leverage effect. (3) The numbers in the parentheses are the standard deviation. (4) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
Table 6.
Results of GARCH-MIDAS model at different lag periods.
m
Panel A: K = 3
IT
0.012
0.045***
0.940***
1.406***
-3.872
2.337**
(0.037)
(0.012)
(0.018)
(0.184)
(2.853)
(0.951)
Finance
0.020
0.056***
0.927***
1.317***
-3.119*
20.409
(0.033)
(0.016)
(0.021)
(0.195)
(1.854)
(19.951)
Fintec
0.028
0.034***
0.966***
-0.180
-3.405
1.571
(0.043)
(0.010)
(0.009)
(0.932)
(3.370)
(0.975)
ChiNext
0.035
0.048***
0.937***
1.274***
-3.610
3.023*
(0.035)
(0.012)
(0.018)
(0.181)
(2.527)
(1.682)
Panel B: K = 6
IT
0.006
0.046***
0.940***
1.302***
0.922***
1.000*
(0.037)
(0.012)
(0.017)
(0.159)
(0.328)
(0.521)
Finance
0.021
0.057***
0.926***
1.322***
-3.096
26.216
(0.033)
(0.015)
(0.020)
(0.198)
(1.917)
(49.861)
Fintec
0.028
0.049***
0.935***
1.458***
-4.173
2.936**
(0.037)
(0.011)
(0.017)
(0.200)
(4.391)
(1.354)
ChiNext
0.032
0.050***
0.935***
1.324***
-5.267
3.541*
(0.035)
(0.012)
(0.017)
(0.193)
(3.455)
(1.990)
Panel C: K = 12
IT
0.004
0.054***
0.929***
1.566***
-9.756**
7.682***
(0.037)
(0.012)
(0.017)
(0.203)
(4.218)
(2.820)
Finance
0.018
0.045***
0.955***
-0.160
-12.554
4.386
(0.043)
(0.015)
(0.012)
(3.316)
(13.672)
(6.629)
Fintec
0.023
0.051***
0.931***
1.575***
-8.454*
6.740**
(0.038)
(0.011)
(0.016)
(0.204)
(4.698)
(3.259)
ChiNext
0.031
0.055***
0.929***
1.397***
-8.326**
9.330**
(0.034)
(0.013)
(0.017)
(0.205)
(3.942)
(4.684)
Notes: (1) The Panel A, B and C in this table reports the parameter estimates of all four models when the lag period K = 3, 6 and 12, respectively. (2) The numbers in the parentheses are the standard deviation. (3) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
IT Index selects all non-ST and *ST Shenzhen A shares belonging to the information technology category.
Finance Index
399240
The Finance index selects all non-ST and *ST Shenzhen A shares belonging to the financial industry category.
Fintech
399699
The Fintech index is based on the sample of financial technology companies listed on the Shenzhen Stock Exchange and Shanghai Stock Exchange, and selects listed companies whose business fields belong to the financial technology industry and sub-sectors.
ChiNext Innovation
399018
The ChiNext Innovation index select the top 100 stocks in the ChiNext Market of the Shenzhen Stock Exchange.
Variable
IT
Finance
Fintec
Eninno
signal
Freq.
Daily
Daily
Daily
Daily
Monthly
Obs.
2477
2477
2477
2477
123
Mean
0
0
0.001
0.001
0.023
Std. dev.
0.021
0.02
0.021
0.02
0.029
Min
-0.095
-0.099
-0.098
-0.093
0
Max
0.071
0.09
0.075
0.071
0.164
Range
0.166
0.189
0.173
0.164
0.164
Skewness
-0.477
-0.076
-0.43
-0.615
2.557
Kurtosis
4.92
7.149
5.035
5.443
11.094
J-B
474.09***
1779.3***
503.61***
771.82***
9453.4***
Notes: (1) The reported descriptive statistics include the data frequency (Freq.), observations (Obs.), mean, standard deviation (Std. dev.), the minimum (Min) and maximum (Max), Range, Skewness, Kurtosis and J-B statistic of the return of IT index (IT), Finance index (Finance), Fintech index (Fintec), Entrepreneurship and innovation index (Eninno) and CBDC signal. (2) The sample of four indexes span from January 4, 2013 to March 16, 2023 and CBDC signal covers from January 2013 to March 2023. (3) ***, **, * denote the null hypothesis is rejected at 1, 5, 10% statistical significance level respectively.
Variable
ADF
Q(8)
BP
IT
−13.185***
22.142***
652.300***
Finance
-12.708***
26.630***
614.740***
Fintec
-13.269***
17.123**
725.930***
ChiNext
-13.357***
16.503**
899.680***
signal
-8.1137***
14044***
14449***
Notes: (1) This table reported the unit root and autocorrelation test results, which include Augmented Dickey-Fuller unit root test (ADF), Ljung-Box test (Q(8)) and Box-Pierce test (BP) of the return of IT index (IT), Finance index (Finance), Fintech index (Fintec), Entrepreneurship and innovation index (ChiNext) and CBDC signal. (2) The sample of four indexes span from January 4, 2013 to March 16, 2023 and CBDC signal covers from January 2013 to March 2023. (3) ***, **, * denote the null hypothesis is rejected at 1, 5, 10% statistical significance level respectively.
IT
Finance
Fintec
ChiNext
-0.019
-0.003
0.000
0.017
(0.040)
(0.036)
(0.102)
(0.038)
0.049***
0.050***
0.048***
0.055***
(0.017)
(0.016)
(0.014)
(0.017)
0.935***
0.936***
0.936***
0.929***
(0.025)
(0.021)
(0.021)
(0.024)
m
1.525***
1.098***
1.528***
1.366***
(0.216)
(0.279)
(0.231)
(0.220)
-7.841**
5.190
-7.117
-7.179*
(3.977)
(5.785)
(5.136)
(3.815)
19.139**
1.000
13.208*
18.853**
(7.667)
(1.587)
(7.469)
(7.916)
Notes: (1) This table reports the parameter estimates of all four models when the lag period K = 24. (2) The numbers in the parentheses are the standard deviation. (3) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
IT
Finance
Fintec
ChiNext
−0.026
-0.007
-0.008
0.008
(0.039)
(0.036)
(0.040)
(0.037)
0.044***
0.046***
0.042***
0.045***
(0.012)
(0.016)
(0.011)
(0.012)
0.921***
0.934***
0.922***
0.919***
(0.036)
(0.024)
(0.031)
(0.031)
γ
0.027
0.010
0.029
0.031
(0.030)
(0.020)
(0.030)
(0.027)
m
1.571***
1.217***
1.596***
1.364***
(0.231)
(0.237)
(0.272)
(0.232)
-8.914**
0.699
-8.468
-7.216*
(4.481)
(1.265)
(6.682)
(4.205)
17.945**
1.000
11.977
17.269**
(7.368)
(1.832)
(9.534)
(8.098)
Notes: (1) This table reports the parameter estimates of asymmetric GJR-GARCH MIDAS model when the lag period K = 24. (2) γ is the coefficient to quantify the volatility leverage effect. (3) The numbers in the parentheses are the standard deviation. (4) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.
m
Panel A: K = 3
IT
0.012
0.045***
0.940***
1.406***
-3.872
2.337**
(0.037)
(0.012)
(0.018)
(0.184)
(2.853)
(0.951)
Finance
0.020
0.056***
0.927***
1.317***
-3.119*
20.409
(0.033)
(0.016)
(0.021)
(0.195)
(1.854)
(19.951)
Fintec
0.028
0.034***
0.966***
-0.180
-3.405
1.571
(0.043)
(0.010)
(0.009)
(0.932)
(3.370)
(0.975)
ChiNext
0.035
0.048***
0.937***
1.274***
-3.610
3.023*
(0.035)
(0.012)
(0.018)
(0.181)
(2.527)
(1.682)
Panel B: K = 6
IT
0.006
0.046***
0.940***
1.302***
0.922***
1.000*
(0.037)
(0.012)
(0.017)
(0.159)
(0.328)
(0.521)
Finance
0.021
0.057***
0.926***
1.322***
-3.096
26.216
(0.033)
(0.015)
(0.020)
(0.198)
(1.917)
(49.861)
Fintec
0.028
0.049***
0.935***
1.458***
-4.173
2.936**
(0.037)
(0.011)
(0.017)
(0.200)
(4.391)
(1.354)
ChiNext
0.032
0.050***
0.935***
1.324***
-5.267
3.541*
(0.035)
(0.012)
(0.017)
(0.193)
(3.455)
(1.990)
Panel C: K = 12
IT
0.004
0.054***
0.929***
1.566***
-9.756**
7.682***
(0.037)
(0.012)
(0.017)
(0.203)
(4.218)
(2.820)
Finance
0.018
0.045***
0.955***
-0.160
-12.554
4.386
(0.043)
(0.015)
(0.012)
(3.316)
(13.672)
(6.629)
Fintec
0.023
0.051***
0.931***
1.575***
-8.454*
6.740**
(0.038)
(0.011)
(0.016)
(0.204)
(4.698)
(3.259)
ChiNext
0.031
0.055***
0.929***
1.397***
-8.326**
9.330**
(0.034)
(0.013)
(0.017)
(0.205)
(3.942)
(4.684)
Notes: (1) The Panel A, B and C in this table reports the parameter estimates of all four models when the lag period K = 3, 6 and 12, respectively. (2) The numbers in the parentheses are the standard deviation. (3) ***, ** and * denote the significance levels at 1, 5 and 10% respectively.