Stock market and macroeconomic volatility comparison: an US approach

Tokmakcioglu, Kaya; Tas, Oktay
January 2014
Quality & Quantity;Jan2014, Vol. 48 Issue 1, p217
Academic Journal
In 2007, as the US subprime mortgage market began to fall down, which reached its peak with the catastrophic collapse of the Lehman Brothers, no one was aware of that this was going to be the worst financial crisis since the Great Depression. Evaluating the advantages and disadvantages connected with financial globalization demands a pure understanding of the influence of financial volatility. Up to the present few researches focused on analyzing macroeconomic volatility of national economies. Therefore, the aim of the paper is to compare the forecast performance of stock market and macroeconomic volatility of US economy between 2007 and 2010. Accordingly, two different types of financial time series were generated, namely weekly stock returns and quarterly return on investment. Firstly, the appropriate model was determined via time series analysis. Secondly, the relevant ARCH-type model was implemented. Finally, conditional variance forecast performance of models was presented with respect to confidence interval. Furthermore, coefficient of correlation between squared residuals and coefficient of conditional variance was given.


Related Articles

  • Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis. Maghyereh, Aktham I.; Awartani, Basel; Hilu, Khalil Al // Quarterly Review of Economics & Finance;May2015, Vol. 56, p123 

    In this paper we investigate equity returns and volatility co-movement between the U.S. and a group of large Middle East and North African stock markets before and after the global financial crisis in 2008. Our empirical evidence suggests that the pre-crisis relation with the U.S. was weak and...

  • Volatility Transfer from Developed Countries to Emerging Markets: Evidence from Nigeria. Oke, B. O.; Obadeyi, J. A.; Unuafe, O. K. // European Journal of Business & Management;2013, Vol. 5 Issue 17, p127 

    In this paper, we examine the existence of volatility transfer from stock exchanges of 5 major developed economies of USA (NYSE), Canada (S&PTSX), France (CAC) Germany (DAX) and UK (FTSE) to the Nigerian Stock Exchange (NSE). To ascertain the relationship between these five bourses and the NSE,...

  • Grouping Stock Markets with Time-Varying Copula-GARCH Model. CZAPKIEWICZ, Anna; MAJDOSZ, PaweĊ‚ // Finance a Uver: Czech Journal of Economics & Finance;2014, Vol. 64 Issue 2, p144 

    The aim of this work is to find the dynamics of interdependencies and similarities between European, American and Asian stock markets. The investigation covers daily returns of 36 market indices. In order to examine the dependencies between these data, the Markov regime switching copula model...

  • COMPARISON OF VOLATILITY ON AMERICAN AND CHINESE STOCK MARKETS DURING THE GLOBAL FINANCIAL CRISIS. VEK, Uros; JAGRIC, Timotej; MARKOVIC HRIBERNIK, Tanja // Economic Computation & Economic Cybernetics Studies & Research;2012, Vol. 46 Issue 4, p261 

    The article offers information on a study which compares the volatility of the stock indices on the stock markets in the U.S. and China before and during the global financial crisis in 2008 by using different generalized autoregressive conditional heteroskedasticity (GARCH) models. It informs...

  • The Global Financial Crisis. Ershov, M. // Problems of Economic Transition;Nov2010, Vol. 53 Issue 7, p37 

    The article analyzes a number of weak segments exposed by the current crisis in the global economy. In response to large-scale challenges, regulators had to revise their approaches significantly. The author maintains that the previous risks remain and new risks will appear.

  • Will the Market Repeat What Happened in 2008? Sommers, Brian // State Journal (WV);4/20/2012, Vol. 28 Issue 16, p29 

    The author reflects on the current financial condition of the stock market in the U.S. and also compares it with the global financial crises which occurred in 2008.

  • Stocks Seem Oversold, but Dark Clouds Remain. Sommers, Brian // State Journal (WV);11/11/2011, Vol. 27 Issue 44, p27 

    The author discusses the impact of the global financial crisis on the stock market in the U.S.

  • FORECASTING FOREX VOLATILITY IN TURBULENT TIMES.  // Global Journal of Business Research (GJBR);2011, Vol. 5 Issue 1, p27 

    No abstract available.

  • Contagion Effect of The Subprime Financial Crisis: Evidence of DCC Multivariate GARCH Models. Bouaziz, Meriam Chihi; Selmi, Nadhem; Boujelbene, Younes // European Journal of Economics, Finance & Administrative Sciences;Jan2012, Issue 44, p66 

    This study considers the contagion effect of the American stock market on the stock markets of developed countries by examining the international transmission of the subprime financial crisis (2007-2008). The Markov Switching GARCH (MS-GARCH) is utilized to distinguish between two different...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics