Stock market and macroeconomic volatility comparison: an US approach

Tokmakçıoğlu, Kaya; Taş, Oktay

doi:10.1007/s11135-012-9761-9

Cited by 1 publication

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References 9 publications

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“…Moreover, stock pricing factors volatility is significantly related to macroeconomic volatility (Chen et al, 2017). Since, investors are risk-averse, excessive volatility, and hence riskiness erodes investors' confidence (Tokmakcioglu and Tas, 2014). It restricts the smooth functioning of the capital market and fair pricing of securities.…”

Section: Introductionmentioning

confidence: 99%

Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

Ali¹

2021

BİLTÜRK Journal of Economics and Related Studies

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This study investigates the impact of macroeconomic variability on stock market volatility in Bangladesh covering the data ranging from January 2005 to December 2018 by using three steps of analysis. Firstly, the univariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is employed to estimate the time-varying conditional variance series for stock return and macroeconomic fundamentals. In the second phase, the volatility effect of macroeconomic forces on stock return is estimated by using the most recent standardized squared residuals of macroeconomic fundamentals as exogenous variables in the conditional variance equation of stock returns. Finally, Vector Auto Regression (VAR) model is used to examine the possible interaction between macroeconomic forces and stock price. The findings of the study evidence that increased volatility in Consumer Price Index, Treasury Bill Rates, and inflow in Foreign Remittance increases the stock return volatility whilst fluctuations in IP leads to a decrease in stock return volatility. Therefore, the implication of these findings documents that both the stock market and macroeconomic forces becoming interdependent in Bangladesh.

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Section: Introductionmentioning

confidence: 99%

Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

Ali¹

2021

BİLTÜRK Journal of Economics and Related Studies

View full text Add to dashboard Cite

show abstract

Stock market and macroeconomic volatility comparison: an US approach

Cited by 1 publication

References 9 publications

Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

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