Stock market volatility and macroeconomic fundamentals

International Journal of Emerging Markets, 11 4 , - David T. This section describes four main theories namely, rational valuation theory, the efficient market theory, portfolio theory, and asset pricing theory. No full-text available. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. Second, both the European Union enlargement and the European sovereign debt crisis underpin the stock market comovements in the Central and Eastern European countries. This model allows macroeconomic covariates to be incorporated at different sampling frequencies, and decomposes conditional volatility into a short-run volatility component following the GARCH 1,1 process and a long-run component captured by a mixed-frequency data sampling regression with lower frequency variables.

Technical variables perform better than economic variables when the economy is an expansion, while the economic variables generate more accurate forecasts when the economy belongs a recession. The latter results in higher economic value with regard to portfolio management applications. Journal of Financial Economics, 1 3 , Citations Our results reveal heterogeneity in the time-varying dependence and across markets. Applied Financial Economics, 19 2 , Robert F.

Keep up with your stats and more. Overall, the results showed that the stock market of the service sectors in Malaysia would likely to be affected by the exchange rate, money supply and interest rate, yet the most influence factor was the exchange rate as the Malaysian Ringgit is decreased in value, sending the panic to the market. De, S. Due to the nonparametric nature of the model under study, the resulting estimators display nonparametric rates of convergence and behavior. However, the linear model is found to be misspecified due to structural breaks and nonlinearity, and hence, the result of no causality from presidential approval ratings to stock returns cannot be considered reliable. Volatility prediction, a central issue in financial econometrics, attracts increasing attention in the data science literature as advances in computational methods enable us to develop models with great forecasting precision.

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Nieto et al. So if low-frequent exogenous variables are included, the low-frequent component is averaged and therefore constant over a fixed time span. Carriero, A. It also allows you to accept potential citations to this item that we are uncertain about. Geert Dhaene Jianbin Wu.
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Password Forgot password? Operating System. Why does stock market volatility change over time? In the interest of robustness this section applies the Engle et al. Laopodis, N.
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Email the author Login required. Economic policy uncertainty spillover effects on sectoral equity returns of New Zealand. Kumari, J. The use of stochastic volatility to capture the conditional heteroskedastic movements of asset returns is now commonplace in economics and finance. Apr J Econ Finance. Chiaku Chukwuogor. Indian Journal of Finance, 6 2 , 19 -
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Garcia, V. The results showed that the EVA-based valuation model with changing normal market return outperformed the EVA-based valuation model with constant required return. In detail, the frequency of the crude oil return data is on a daily basis, while the macroeconomic covariates are obtained monthly or on a even lower frequency. Chiaku Chukwuogor U. Kuzin, V. However, a large body of empirical evidence indicates that required rate of return never remain constant.
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Some were imported, especially from Europe. Predictability power of interest rate and exchange rate volatility on stock market return and volatility: Evidence from Bursa Malaysia. Other papers. Powered by. These results are of utmost relevance for the process of financial integration and they also have important implications for policy makers, risk management, and investors. First, we find significant differences between the stock market co-movements, which seem to depend on economic development and market deepening.
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Stock market volatility and macroeconomic fundamentals:

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