Macro determinants of stock market volatility: evidence from Middle East region

Touny, Mahmoud Abdelaziz; Radwan, Mostafa Ahmed; Alayis, Mahmoud M. Hussein

doi:10.1504/aajfa.2021.115672

Cited by 3 publications

(1 citation statement)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Corradi et al (2013) focus on business cycle factors, ascertaining their notable impact on both the level and fluctuations in stock market volatility. Touny et al (2021) examine Middle Eastern countries, identifying inflation, corruption, stock market capitalization, and stock turnover ratios as exerting a positive and significant influence on stock market volatility. Conversely, economic growth, financial freedom, and stock market returns appear to negatively and substantially impact stock market volatility.…”

Section: Determinants Of Stock Volatilitymentioning

confidence: 99%

Volatility Spillover from Carbon Prices to Stock Prices: Evidence from China’s Carbon Emission Trading Markets

Ma,

Feng,

Chen

et al. 2024

JRFM

View full text Add to dashboard Cite

The carbon emission trading markets represent an emerging domain within China. The primary objective of this study is to explore whether carbon price volatility influences stock market volatility among companies subject to these emission trading regulations. Employing daily returns data from 293 publicly traded companies regulated by these emission trading markets, this study encompasses the national carbon market and eight pilot regional carbon markets spanning from August 2013 to October 2023. The results demonstrate that volatility in regional carbon prices positively impacts the stock volatility of companies in the corresponding emission trading region, indicating a volatility spillover effect. Moreover, this spillover effect is more pronounced in sectors marked by lesser carbon intensity than those with greater carbon intensity. The volatility transmission is more pronounced in coastal areas than in inland regions. However, no notable distinctions in volatility transmission are discerned between the periods before and throughout the COVID-19 pandemic. Vector autoregression analyses substantiate that lagged carbon price fluctuations possess limited predictive capacity for contemporaneous equity market volatility and vice versa. The robustness of these outcomes is fortified by applying the E-GARCH model, which accounts for the volatility clustering phenomenon. As the first investigation into the volatility spillover effect between China’s emission trading market and corresponding stock markets, this study offers valuable insights into the investment strategies of retail investors, the formulation of carbon regulations by policymakers, and the carbon emission strategies of corporate managers.

show abstract

Section: Determinants Of Stock Volatilitymentioning

confidence: 99%

Volatility Spillover from Carbon Prices to Stock Prices: Evidence from China’s Carbon Emission Trading Markets

Ma,

Feng,

Chen

et al. 2024

JRFM

View full text Add to dashboard Cite

show abstract

Financial market uncertainty and the macro economy: the role of governance and institutional quality

Abaidoo,

Agyapong

2024

ECON

View full text Add to dashboard Cite

PurposeThe study examines the impact of macroeconomic risk and volatility associated with key macroeconomic indicators on financial market uncertainty; and the extent to which governance and institutional structures moderate such relationships.Design/methodology/approachThe study employs data from 33 countries in Sub-Saharan Africa (SSA) for the period between 1996 and 2019. Variable derivation techniques such as the generalized autoregressive conditional heteroskedasticity (GARCH) for deriving volatility data, and the principal component analysis (PCA) for index construction were employed. The data is examined using the two-step system generalized method of moments (TS-SGMM) technique.FindingsEmpirical results suggest that macroeconomic risk and exchange rate volatility heighten financial market uncertainty among economies in the sub-region. Further empirical estimates show that institutional quality and government effectiveness have a negative moderating effect on the nexus between macroeconomic risk, inflation uncertainty, GDP growth, exchange rate, and financial market uncertainty.Practical implicationsThe key macroeconomic conditions with the propensity to foment financial market uncertainty are worth monitoring with adequate buffers to mitigate their impacts on the financial market.Originality/valueCompared to related studies, this study focuses on uncertainty associated with financial markets among emerging economies in sub-Saharan Africa (SSA) instead of the performance of the financial markets or specific financial market indicators such as the stock market; and the extent to which a host of macroeconomic conditions influence such uncertainty. For instance, Abaidoo and Agyapong (2023) focused on the impact of macroeconomic indicators or conditions on the performance of the financial market and the efficiency of financial institutions respectively instead of the uncertainty or risk associated with the financial market as pursued in the current study. This differing approach is pursued with the goal of proffering appropriate strategies for policy makers towards assuaging the financial market risk (uncertainty) due to macroeconomic dynamics. We further examine how the various fundamental relationships may be moderated by effective governance and institutional quality.

show abstract

Macroeconomic determinants of stock market volatility: Evidence from post socialist countries

Damiran

Dorjdagva

Sukhee

et al. 2022

JEECAR

View full text Add to dashboard Cite

This paper aims to estimate macroeconomic determinants of stock market volatility (SMV) for post-socialist countries using unbalanced panel data from 1995 to 2020. We evaluated the impacts of the stock market and macroeconomic determinants on SMV using the Feasible Generalized Least Squares (FGLS) model based on the data of selected eleven post-socialist countries in terms of two consecutive years. The findings reveal that economic freedom has a strong and good impact at any time; however, although the previous year's turnover ratio (TOR) had a positive impact, it has an unfavorable impact on SMV in the current year. Furthermore, the year's inflation rate, level of corruption, economic growth rate, and stock market value have all shown a negative impact. The study's findings serve as a useful reference for stock market practitioners and policymakers in these nations in making decisions.

show abstract

Macro determinants of stock market volatility: evidence from Middle East region

Cited by 3 publications

References 0 publications

Volatility Spillover from Carbon Prices to Stock Prices: Evidence from China’s Carbon Emission Trading Markets

Volatility Spillover from Carbon Prices to Stock Prices: Evidence from China’s Carbon Emission Trading Markets

Financial market uncertainty and the macro economy: the role of governance and institutional quality

Macroeconomic determinants of stock market volatility: Evidence from post socialist countries

Contact Info

Product

Resources

About