Stock market volatility and macroeconomic fundamentals

7 Jul 2016 In particular, the relationship between stock market volatility and uncertainty of macroeconomic fundamentals stay unstudied most of the times;  3 Sep 2016 persistent component of either stock or bond market volatility cause a deterioration in macroeconomic fundamentals. We find no evidence of a 

26 Jul 2019 Title of Article: Macroeconomic Fundamentals of Turkey Stock Market Volatility. Author(s):, Huseyin Tastan, Arifenur Gungor. Volume: 10. Stock Market Volatility and the Business Cycle. Although conventional wisdom holds that the stock market plays an impor- tant role for macroeconomic develop-. What are the fundamental factors that cause stock market volatility in Malaysia? Specifically, this study aims to investigate the impact of GFC on the relationship  identify inflation and earnings uncertainty as sources of stock market volatility and In relation to volatility of macroeconomic fundamentals, the results suggest  1 Jul 2009 This study characterizes volatility dynamics in external emerging Macroeconomic Fundamentals, Price Discovery and Volatility Stock No:. macroeconomic to stock market volatility than the other way around. Keywords: stock of the returns, rather than to an increase in the volatility of fundamentals.

Abstract. This paper examines the effect of Chinese macroeconomic variables, the industrial production growth rate, the producer price index, the 3-month short-term Shanghai Interbank Offer Rate and the consumer price index, on the volatility of the Shanghai and Hong Kong stock markets. We apply the generalized autoregressive conditional

26 Jul 2019 Title of Article: Macroeconomic Fundamentals of Turkey Stock Market Volatility. Author(s):, Huseyin Tastan, Arifenur Gungor. Volume: 10. Stock Market Volatility and the Business Cycle. Although conventional wisdom holds that the stock market plays an impor- tant role for macroeconomic develop-. What are the fundamental factors that cause stock market volatility in Malaysia? Specifically, this study aims to investigate the impact of GFC on the relationship  identify inflation and earnings uncertainty as sources of stock market volatility and In relation to volatility of macroeconomic fundamentals, the results suggest  1 Jul 2009 This study characterizes volatility dynamics in external emerging Macroeconomic Fundamentals, Price Discovery and Volatility Stock No:. macroeconomic to stock market volatility than the other way around. Keywords: stock of the returns, rather than to an increase in the volatility of fundamentals. 17 Jan 2018 Stock market volatility and macroeconomic fundamentals. The Review of Economics and Statistics 95 (3), 776–797. Engle, RF, Lee, G., 1999. A 

1 Jul 2009 This study characterizes volatility dynamics in external emerging Macroeconomic Fundamentals, Price Discovery and Volatility Stock No:.

Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility. economic sizes and income levels, and macroeconomic fundamentals.

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.

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. In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with speculative factors.

NBER Program(s):Asset Pricing Program, Economic Fluctuations and Growth Program, International Finance and Macroeconomics Program 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.

22 Apr 2012 derivatives. In both cases, forecasting stock market volatility constitutes a formidable challenge but. 6 also a fundamental instrument to manage  Stock Market Volatility and Macroeconomic Fundamentals. We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. Furthermore, the volatility of the stock market is highly related to the economic activities which the movement of the stock market can be influenced by the macroeconomic variables (Engle, et al Stock Market Volatility and Macroeconomic Fundamentals We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. Abstract: We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. We formulate models with the long-term component driven by inflation and industrial production growth that are in terms of pseudo out-of-sample prediction for

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with speculative factors. Abstract. This paper examines the effect of Chinese macroeconomic variables, the industrial production growth rate, the producer price index, the 3-month short-term Shanghai Interbank Offer Rate and the consumer price index, on the volatility of the Shanghai and Hong Kong stock markets. We apply the generalized autoregressive conditional