Oil plays a very important role in the Indian economy and the stock market. In India, oil is key factor as nearly 85% of crude oil requirements are fulfilled through imports. It is believed that Indian stock market and crude oil are inversely proportional. In the past, it was seen that when...

We consider whether key financial variables predict macroeconomic series and if any predictive power for output growth is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading indicator for macroeconomic performance. Full sample...

We derive lower and upper bounds on the conditional market autocorrelation index at various investment horizons without using the precise form of the utility function. The bounds are derived in terms of option prices and can be computed at daily frequency for any given horizon. The bounds...

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

We decompose the squared VIX index, derived from US S&P 500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

This paper examines the information content of two different measures of aggregate equity-market order flow for future macro fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for industrial...

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic...

We analyse how the future real economic activity is discounted to the current value of stocks in the US and European markets, and find that the extraordinary threat on future real GDP growth caused by the COVID-19 pandemic was obviously one of the main factors that affected the deep dive in the...

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...