Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR

Table 1

Descriptive statistics of sample data.

	Mean	Std	LQ (1)	LQ (5)	PP	ADF
EPU	0.006	0.218	52.152	68.569	−26.518	−13.130
M2	0.012	0.010	0.314	72.450	−6.928	−2.424
Industrial production index	0.009	0.031	87.469	93.660	−25.149	−7.659
SSE composite index	−0.006	0.737	17.543	24.685	−20.873	−12.076
SZSE composite index	−0.004	0.737	20.181	28.564	−21.720	−12.747
SSE commercial index	−0.006	0.769	22.495	32.131	−22.190	−12.035
SSE industrial index	−0.005	0.741	19.812	26.841	−21.423	−12.342
SSE real estate index	−0.003	0.698	17.614	30.795	−21.029	−11.621
SSE utilities index	−0.006	0.759	26.662	30.448	−22.677	−12.141

Note. LQ (i) is the ljung and box statistics of the return series of the ith order. ADF and PP are the statistics of the augmented Dickey–Fuller and Phillips–Perron unit root tests, respectively, based on the lowest AIC value. J-B is the Jarque–Bera statistic, which confirms the nonnormality of all of the sample returns. (, , ) denote the significance level of 1%, 5%, and 10%, respectively.