The comovement and causality between stock market cycle and business cycle in China: Evidence from a wavelet analysis

• Published in: Economic modelling Vol. 83; pp. 17 - 30
• Main Authors: Si, Deng-Kui, Liu, Xi-Hua, Kong, Xianli
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.12.2019
• Subjects: Business cycle; Frequency variation; Stock market cycle; Time variation; Wavelet analysis; Stock market cycle; C22; Business cycle; E32; G10; Wavelet analysis; Time variation; Frequency variation

This study aims to explore the comovement and causal relationship between the stock market cycle and business cycle in China over the period from 1992Q1 to 2018Q1. While the existing literature treats the relationship as being time- and/or frequency-invariant, we attempt to detect possible time- and...