TITLE

Can Macroeconomic Volatility affect Stock Market Volatility? The case of 5 Central and Eastern European Countries

AUTHOR(S)
BAROIAN, Elena-Felicia
PUB. DATE
July 2014
SOURCE
Romanian Journal of Fiscal Policy;Jul-Dec2014, Vol. 5 Issue 2, p41
SOURCE TYPE
Academic Journal
DOC. TYPE
Case Study
ABSTRACT
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging European countries. To account for the effects of fundamentals, modified ARCH/GARCH models are employed. The results are discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the sole significant explanatory variable.
ACCESSION #
101810283

 

Related Articles

  • Modeling persistence and long memory under the impact of regime shifts in the PIGS stock markets. Kumar, Dilip; Maheswaran, S. // Decision (0304-0941);Nov2013, Vol. 40 Issue 1/2, p117 

    This paper investigates the impact of regime shifts on the persistence and long memory characteristics of volatility from the vantage point of modeling volatility in the PIGS economies (Portugal, Italy, Greece, and Spain). We apply the AIT ICSS algorithm to identify the points of sudden changes...

  • Exchange rate volatility and stock market development in emerging economies. Hajilee, Massomeh; Al Nasser, Omar M. // Journal of Post Keynesian Economics;Fall2014, Vol. 37 Issue 1, p163 

    The effect of exchange rate risk on individual countries' macroeconomic variables can follow an ambiguous pattern, thus making it better to text each case empirically. The effect of exchange rate volatility on stock market development is still an enigma. This article investigates the effect of...

  • Macroeconomic and Financial Determinants of Comovement across Global Real Estate Security Markets. Stevenson, Simon // Journal of Real Estate Research;Oct-Dec2016, Vol. 38 Issue 4, p595 

    While there is a large literature on both diversification and contagion issues across global listed real estate markets, there is only a limited amount of research on the drivers of correlation dynamics. Using both local and U.S. dollar denominated returns, I model conditional correlations...

  • IDENTIFYING INFORMATION SOURCES ABOUT MACROECONOMIC CONDITIONS USING EQUITY INDEX OPTIONS. Aktas, Elvan // International Journal of Business, Accounting, & Finance;Fall2012, Vol. 6 Issue 2, p143 

    The article presents a study on identifying information sources on macroeconomic conditions through equity index options. It mentions the challenges of understanding volatility in equity markets and data sources associating it to systematic variables. It also notes its identification by the...

  • The Determinants of Stock Market Volatilities in Ghana. Angko, William // Research Journal of Finance & Accounting;2013, Vol. 4 Issue 13, p146 

    The study aims at examining macroeconomic relationship between economic growth and stock market performance. Annual time series data covering the period 1990-2008 were extracted and interpolated into quarterly data. The ADF test statistics are used to test for stationarity in the variables....

  • INDICATORS OF STOCK MARKET DEVELOPMENT IN BOTSWANA. Otisitswe, Goabaone; Moffat, Boitumelo // International Journal of Economics & Business Studies;Spring2013, Vol. 3 Issue 1, p43 

    This study determines the indicators of stock market development such as stock market liquidity, domestic investment, macroeconomic stability, market volatility and financial intermediary development on stock market development in Botswana. The study utilizes quarterly time series data for the...

  • Is the market too volatile for many investors?  // Money (Australia Edition);Oct2011, Issue 139, p12 

    The article reports on the volatile stock market in Australia and abroad, as of October 2011, as indicated in the 24.5 percent decline in All Ordinaries, the recession and debt issues faced by the U.S. and sovereign debt issues in the euro zone.

  • Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange. Tse, Yiuman; Wu, Chunchi; Young, Allan // Global Finance Journal;Dec2003, Vol. 14 Issue 3, p319 

    We investigate the international information transmission between the U.S. and Polish stock markets using daily return data from the S&P 500 Index and the Warszawski Indeks Gieldowy (WIG). The results show no volatility spillover between these two markets and that these two markets are not...

  • Efficiency and risk. Witcombe, Jason // Money Marketing;10/29/2009, p58 

    The article provides answer to a question concerning the impact of stockmarket volatility in Great Britain.

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

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

Try another library?
Sign out of this library

Other Topics