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Stock volatility in the periods of booms and stagnations
Kaizoji, Taisei - 2010
of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …
Persistent link: https://www.econbiz.de/10011524072
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …
Persistent link: https://www.econbiz.de/10012853413
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Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach
Tripathi, Vanita - 2015
exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …
Persistent link: https://www.econbiz.de/10013017151
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Does idiosyncratic volatility predict future growth of the Australian economy?
Liu, Bin; Di Iorio, Amalia - In: Studies in economics and finance 33 (2016) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10011718726
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Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries
Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...
Persistent link: https://www.econbiz.de/10013179569
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Does the stock market contain information about economic growth? : time-varying out of sample causality tests
Ciner, Cetin - In: Applied economics letters 26 (2019) 13, pp. 1138-1142
Persistent link: https://www.econbiz.de/10012204566
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Stock market returns and GDP news
Patatoukas, Panos N. - In: Journal of accounting, auditing & finance : JAAF 36 (2021) 4, pp. 776-801
Persistent link: https://www.econbiz.de/10012661992
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The Time-Varying Liquidity Risk of Value and Growth Stocks
Akbas, Ferhat - 2010
We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have higher liquidity betas than in best times, while the opposite holds for growth stocks. Small value stocks have higher liquidity exposures than small growth stocks in worst times,...
Persistent link: https://www.econbiz.de/10013146639
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Economic growth, corporate earnings and equity returns : evidence from Central and Eastern European countries
Gajdka, Jerzy; Pietraszewski, Piotr - In: Comparative economic research : Central and Eastern Europe 19 (2016) 3, pp. 93-112
Persistent link: https://www.econbiz.de/10011631322
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Testing output gap and economic uncertainty as an explicator of stock market returns
Ahmad, Wasim; Sharma, Sumit Kumar - In: Research in international business and finance 45 (2018), pp. 293-306
Persistent link: https://www.econbiz.de/10011983273