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

Table 2

Forecast error variance decomposition of stock volatility return to EPU.

	1	2	3	4	5	6	7	8	9	10	11	12
SSE composite index	0.039	0.035	0.041	0.041	0.042	0.042	0.042	0.042	0.042	0.042	0.042	0.042
SZSE composite index	0.029	0.025	0.029	0.029	0.030	0.030	0.030	0.031	0.031	0.031	0.031	0.031
SSE commercial index	0.029	0.025	0.028	0.029	0.032	0.032	0.032	0.032	0.032	0.032	0.032	0.032
SSE industrial index	0.040	0.035	0.043	0.043	0.044	0.044	0.044	0.044	0.044	0.044	0.044	0.044
SSE real estate index	0.057	0.065	0.064	0.067	0.071	0.071	0.071	0.071	0.072	0.072	0.072	0.072
SSE utilities index	0.038	0.033	0.040	0.040	0.041	0.041	0.041	0.041	0.041	0.042	0.042	0.042

Note. This table displays the variance decomposition with respect to the shocks for horizons from 1 to 12.