Narrow Results

This paper explores how macroeconomic fundamentals affect the long-run dynamics in the volatility of and correlation between the stock and bond market. We use China as a laboratory by employing the GARCH-MIDAS and DCC-MIDAS models, which possess proven ability to capture the long-run component of second-moment market performance in a rapidly-growing economy. With actual data and predictivity evaluation, the finding is that the industrial production growth rate accounts for 32.04% of variations in the total conditional volatility for Chinese stocks, and the industrial production growth volatility drives 29.63% of movements in the total conditional volatility for Chinese bonds. Our proposed model is particularly advantageous in long-run volatility forecasts. Moreover, the present study complements the literature concerning the impacts of macro factors on the time-varying correlations between China’s stock and bond markets. We find weak evidence in this regard, probably due to the absence of multi-market macro-strategy investors that prevail in more developed markets.

With the trend of integrating the world and regional economy, financial markets have expanded strongly, especially capital markets. Moreover, the International Accounting Standards (IAS/IFRS) have become a global language in the preparing and presenting of financial statements. The objective of this chapter is to examine the macro factors affecting the adoption of IAS/IFR in Vietnam. The authors use mixed methods based on logarithm models with secondary data of 147 countries to examine the following factors: culture, economic growth, capital markets, education, foreign operation, law, and politics. The authors propose implications of promoting the process of IAS/IFRS adoption in the country.