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International Symposium on Knowledge and Systems Sciences

KSS 2017: Knowledge and Systems Sciences pp 175–185Cite as

Societal Risk and Stock Market Volatility in China: A Causality Analysis

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Part of the book series: Communications in Computer and Information Science ((CCIS,volume 780))

Abstract

A variety of societal contradictions and conflicts are exposed in China along the process of economic and social transformation. Online societal risk perception is acquired by public searching behavior which has been mapped into respective societal risks based on indicators including national security, economy/finance, public morals, daily life, social stability, government management, and resources/environment. A stable and harmonious society is the basic guarantee for the sound development of the stock market. What we concern about is whether the variations of the societal risk are related to stock market volatility. The correlations between societal risk and stock market volatility are investigated. Although there are no trading data on holidays and weekends, the risk information of no-trading days is also taken into consideration to discuss if there are any impacts on stock market volatility. Three different econometric approaches are developed to explore the relationship between them. The results show that the risk of finance/economy, social stability, and government management could cause the fluctuation of stock market. Moreover, risk information of no-trading days has an impact on the stock’s volatility as well. The research demonstrates that capturing online societal risk based on public searching data is feasible and significant.

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Notes

  1. 1.

    http://news.baidu.com/.

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Acknowledgments

This research is supported by National Key Research and Development Program of China (2016YFB1000902) and National Natural Science Foundation of China (61473284 & 71371107).

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Authors and Affiliations

  1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    Nuo Xu & Xijin Tang

  2. University of Chinese Academy of Sciences, Beijing, 100049, China

    Nuo Xu & Xijin Tang

Authors
  1. Nuo Xu
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  2. Xijin Tang
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Corresponding author

Correspondence to Xijin Tang .

Editor information

Editors and Affiliations

  1. Tsinghua University, Beijing, China

    Jian Chen

  2. Thammasat University, Bangkadi Muang Pathumthani, Thailand

    Thanaruk Theeramunkong

  3. National Electronics and Computer Technology Center, Pathumthani, Thailand

    Thepachai Supnithi

  4. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

    Xijin Tang

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Xu, N., Tang, X. (2017). Societal Risk and Stock Market Volatility in China: A Causality Analysis. In: Chen, J., Theeramunkong, T., Supnithi, T., Tang, X. (eds) Knowledge and Systems Sciences. KSS 2017. Communications in Computer and Information Science, vol 780. Springer, Singapore. https://doi.org/10.1007/978-981-10-6989-5_15

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  • DOI: https://doi.org/10.1007/978-981-10-6989-5_15

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-10-6988-8

  • Online ISBN: 978-981-10-6989-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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