Macroeconomic Volatility and Stock Market Volatility, World-Wide
35 Pages Posted: 25 Aug 2008
Date Written: August 25, 2008
Abstract
Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.
Keywords: Financial market, equity market, asset return, risk, variance, asset pricing
JEL Classification: G1, E0
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes
-
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes
-
The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
By Robert F. Engle and J. Gonzalo Rangel
-
On the Economic Sources of Stock Market Volatility
By Robert F. Engle, Eric Ghysels, ...
-
On the Economic Sources of Stock Market Volatility
By Robert F. Engle, Eric Ghysels, ...
-
A Component Model for Dynamic Correlations
By Ric Colacito, Robert F. Engle, ...
-
Macroeconomic Volatility and Stock Market Volatility, Worldwide
By Francis X. Diebold and Kamil Yilmaz
-
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry
By Eric Ghysels, Alberto Plazzi, ...
-
The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations