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

BAROIAN, Elena-Felicia
July 2014
Romanian Journal of Fiscal Policy;Jul-Dec2014, Vol. 5 Issue 2, p41
Academic Journal
Case Study
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.


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