Macroeconomic Volatility and Stock Market Volatility, World-Wide

descriptionPublicationkeyboard_double_arrow_right Article , Part of book or chapter of book , Preprint 01 Jan 2008 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Francis X. Diebold; Kamil Yilmaz;

doi: 10.2139/ssrn.1254822 , 10.1093/acprof:oso/9780199549498.003.0006

Macroeconomic Volatility and Stock Market Volatility, World-Wide

- Summary
- Subjects
- Metrics

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. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.

Related Organizations

University of Pennsylvania
United States
Koç University
Turkey
National Bureau of Economic Research
United States

Keywords

Financial market, equity market, asset return, risk, variance, asset pricing, jel: jel:G1, jel: jel:E0

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	20
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%