Stock Market Volatility and Macroeconomic Volatility
EMPIRICAL ANALYSIS OF STOCK MARKET VOLATILITY AND MACROECONOMIC VOLATILITY IN INDIA
... of stock market volatility begins with introduction of autoregressive conditional heteroscedasticity (ARCH) and Generalised autoregressive conditional heteroscedasticity (GARCH) model by Engle (1982) ...
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Sentiment indicators and macroeconomic data as drivers for low frequency stock market volatility
... for stock return volatility, where the low-frequency compo- nent of volatility is driven by macroeconomic variables, have recently provided robust links between the macroeconomy and ...
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Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey
... of macroeconomic variables volatility using Vector Autoregressive (VAR) ...the stock market and macroeconomic variables has been subjected to serious economic ...A stock ...
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Macroeconomic Variables and Stock Price Volatility in Ghana
... between macroeconomic variables and stock price volatility were ...three macroeconomic variables were investigated: inflation rate, real gross domestic product growth rate and interest rate ...
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Policy risk and Stock Market volatility in China
... Direct calculation of the benefit changes caused by policy-related uncertainty is impossible and there are no direct measures to estimate the size of policy risk. In previous studies, limited attempts have been made to ...
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Predictive Models for Disaggregate Stock Market Volatility
... of macroeconomic factors on volatility in different industries is mainly driven by the diverse characteristics of industry-level ...that stock returns in non-cyclical industries tend to co-vary ...
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Return-Volatility Interactions in the Nigerian Stock Market
... between stock prices and macroeconomic ...these macroeconomic variables are statistically associated with the aggregate stock ...the macroeconomic variables significantly explained ...
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Inflation and stock market volatility in Kenya
... the stock market and macroeconomic factors has been widely ...between stock market volatility and inflation in the developing and emerging markets mainly cover the linkages ...
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Macroeconomic Variables, Volatility and Stock Market Returns: A Case of Nairobi Securities Exchange, Kenya
... of stock returns against Treasury bill rate, exchange rate, inflation and Gross Domestic product was done to get the fitted residual which was then subjected to unit root test to confirm or not the existence of co ...
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Volume 03 Issue 07: (2016) July 2016
... certain macroeconomic variables on stock price ...on stock market ...and stock market ...on stock market ...engender volatility in the stock ...
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The Impact of Stock Market Volatility on Economic Growth (Jordan’s Case)
... from macroeconomic data analyzed that the deviation of the asymmetries in the sets of time models was less consistent than expected for some ...Collective stock price volatility also refers to ...
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Mexican Stock Market Index Volatility
... There are several studies which have handled the effects of capital requirements upon banking performance. To begin with some of them seek the degree on which capital requirement levels affect the profitability of ...
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OIL PRICE VOLATILITY AND MACROECONOMIC FACTORS INFLUENCE STOCK MARKET RETURN: A STUDY IN MALAYSIA
... of macroeconomic variables and crude oil on the development of ...between macroeconomic variables, crude oil and stock market of Nigeria ...of stock exchange, therefore, government ...
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The Predictive Value of Investor Sentiment Index on the Volatility of the Malaysian Stock Market
... the volatility of the stock ...the volatility of ...net macroeconomic fundamentals over the volatility of the Malaysian stock market, the following hypothesis is tested: ...
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Relationship between stock market volatility and exchange rate: a study of kse
... of stock and daily exchange rate have been taken by ...economy, stock market (Adjasi et ...between stock market return and exchange ...between stock market and ...
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The Impact of Macroeconomic Variables on JCI’s Stock Return Volatility in Pre and Post Global Economic Crisis
... international stock price index to sub- prime mortgage crisis’s shock ...world stock price indexes (JCI , KLCI , STI , SET , PSE , the Nikkei 225 index , SCI , KOSPI , HSI , TWI , FTSE 100 , CAC 40 , DAX , ...
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Volatility Mean Reversion and Stock Market Efficiency
... In this study, The mean reverting rates 1 1 implied by our fitted model is very close to 1. The sum of ARCH and GARCH terms presented in table 3 is nearly 0.97 which is close to 1.it suggested that the series does ...
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A STUDY ON THE VOLATILITY AND SEASONALITY OF THE INDIAN STOCK MARKET
... the stock price behavior & modeling the volatility of the Indian Stock Market using S&P CNX Nifty to proxy the Indian Stock Market over the twelve years period starting ...
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Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach
... Guo and Kliesen [12] investigates that daily crude oil price has a negative ef- fect on future GDP growth and other methods of the US macro economy. Zhang [13] developed nonlinear relationship between oil price shock and ...
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Modelling Volatility Spillover between Conventional and Islamic Stock Index in the United Kingdom
... a volatility/risk transmission exists between the Dow Jones Islamic stock index and three conventional stock markets for the ...of volatility transfer between the Islamic and conventional ...
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