Stock market volatility and macroeconomic fundamentals

American Economic Review, 71 4 , - Proceed with necessary cookies only. The forecasts based on the mixed-data sampling models, MIDAS, are compared to those obtained from models based on daily data. Second, it informs that volatility in the Brazilian context is likely only partially, if at all, influenced by corporate governance practices. The realized volatility is decomposed by a nonparametric filter into long- and short-run components, which are modeled by an artificial neural network and an ARMA process, respectively.

Skip to search form Skip to main content You are currently offline. Our findings underscore Qatar's economic vulnerability but also the successful resilience strategy of this tiny state. Sign up. You can help correct errors and omissions. Stock returns and inflation : A long-horizon perspective.

Relative information content analyses were conducted by considering sample of the intrinsic value of equities determined by valuation models and the market value of equities of 69 large-cap, 88 mid-cap, and 79 small-cap companies. Our findings have important implications on risk management for investors in crude oil market. Schwert , Engle and Rangel , Engle et al. This study explores the stabilization effect of state rainy day funds RDFs on government general fund expenditures GFEs. This is motivated by the market microstructure literature that examines the mechanics of price formation and its relevance to market quality.

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Evaluating the time-varying impact of economic data on the accuracy of stock market volatility forecasts Annika Lindblad Economics Yartey, C. International Research Journal of Finance and Economics, 14 99 , Stavroula Fameliti Viki Skintzi. Request the article directly from the authors on ResearchGate.
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In our examination of volatility of the daily stock returns of the DOW Jones Industrial Average Index, we employ one of the simplest volatility stimulators, The simple moving average, standard deviation of daily logarithmic returns. Have individual stocks become more volatile? Aiyar, S. Rita laura d'ecclesia Daniele Clementi. We further examine whether these stressful events trigger contagion. Within this framework, the long-term volatility component, which included exogenous variables in a different frequency, could vary in the same frequency as the short-term component by estimating a rolling window.
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A direct implication is that the more the regulations the EU attempts to put in place, the lower the long-run convergence process of sovereign bond markets is. The out-of-sample results also indicate that stock market implied volatility is significantly more powerful for stock volatility than the oil price volatility in five developed economies. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. IP Address. The unique timespan of nearly years of the DJIA daily returns allows us to understand the stock market volatility under extreme shocks from a historical perspective. We focus our attention on the conditional volatility process of stock market returns and risks related to financial interconnectedness. Online news media coverage regarding a destination, a form of big data, can affect destination image and influence the number of tourist arrivals.
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First, the paper finds a quite low degree of convergence between foreign exchange markets, with rising correlations during some of the crisis episodes. Schorfheide, F. A strand of the literature shows that macroeconomic uncertainty is the source of stock market volatility Andrei, Carlin, and Hasler, ;Greenwald, Lettau, and Ludvigson, ;Engle and Rangel, ; Engle, Ghysels, and Sohn, ; Bansal and Yaron, ;Zhou and Zhu, We further examined whether the explanatory ability of the EVA valuation model under the assumption of changing required return is better than that of the valuation model under the assumption of constant required return. Second, it informs that volatility in the Brazilian context is likely only partially, if at all, influenced by corporate governance practices. ResearchGate has not been able to resolve any references for this publication. Schwert , Engle et al.
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Finally, we employ a gravity-type regression to investigate the determinants of long-term correlations. Parallelly, the capital market has also provided advantages to the stakeholders through diversification of risk, amelioration of liquidity risk, discovery of asset prices, etc. The process explicitly allows for further explanatory variables to model the time-varying long-term volatility component. As the access to this document is restricted, you may want to search for a different version of it. Journal of Stock and Forex Trading, 5 1 , Zakaria, Z. According to Linck and Decourt , the stock market is really sensitive to many variables which from the host of economic indices to the disclosure of fundamentalist information, which the result showed that the variables can influence the changes of stock market.
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Stock market volatility and macroeconomic fundamentals:

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