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A Macroeconomic Perspective on Stock Market Return Volatility: Forecasting, Causes and Consequences

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Figure 2.2 and 2.3 compare emerging and high-income markets in the panel. It is evident  that  both  types  of  markets  are  affected  by  the  unanticipated  external  shocks,  but  the  magnitude of the reactions depends on the severity and the proximit
Figure 2.4 presents the daily VIX index value from the beginning of 2004 to the end of  2014
Table 2.2 Cont’d.
Table 3.1  Descriptive Statistics
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