Research Article

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

Table 1

Descriptive statistics of sample data.

MeanStdLQ (1)LQ (5)PPADF

EPU0.0060.21852.15268.569−26.518−13.130
M20.0120.0100.31472.450−6.928−2.424
Industrial production index0.0090.03187.46993.660−25.149−7.659
SSE composite index−0.0060.73717.54324.685−20.873−12.076
SZSE composite index−0.0040.73720.18128.564−21.720−12.747
SSE commercial index−0.0060.76922.49532.131−22.190−12.035
SSE industrial index−0.0050.74119.81226.841−21.423−12.342
SSE real estate index−0.0030.69817.61430.795−21.029−11.621
SSE utilities index−0.0060.75926.66230.448−22.677−12.141

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.