Can macroeconomic volatility affect stock market volatility? The case of 5 central and eastern European countries

This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging European countries. To account for the effects of fundamentals, modified ARCH/GARCH models are employed. The results are discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the sole significant explanatory variable.

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Year of publication:	2014
Authors:	Baroian, Elena
Published in:	Romanian Journal of Fiscal Policy (RJFP). - Bucharest : Editura ASE, ISSN 2069-0983. - Vol. 5.2014, 2, p. 41-55
Publisher:	Bucharest : Editura ASE
Subject:	Macroeconomic volatility \| stock market volatility \| panel estimation

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	820433454 [GVK] hdl:10419/107958 [Handle]
Classification:	c58 ; E44 - Financial Markets and the Macroeconomy ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10010491491