Purpose: The purpose of this paper is to analyse the relation between stock market volatility and macroeconomic fundamentals for G-7 countries using monthly data over the period from July 1985 to June 2015. Methodology: The empirical methodology is based on two steps: in the first step, we obtain the conditional volatilities of stock market returns and macroeconomic variables through the GARCH family of models. We also incorporate the impact of early 2000s dotcom and the global financial crises. In the second step, we estimate multivariate vector autoregressive (VAR) model to analyze the dynamic relation between stock markets return and macroeconomic variables. Findings: The overall results for G-7 countries indicate a weak vola...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This study investigates the multidirectional relationship between the stock market and macroeconomic...
The present study examines the relationship between stock market volatility and the volatility of ma...
Purpose: The purpose of this paper is to analyse the relation between stock market volatility and ma...
Purpose: The purpose of this research paper is to analyse the relationship between macroeconomic fun...
The present study examines the relationship between stock market volatility and the volatility of m...
This paper attempts to determine the relationship between conditional stock market volatility and co...
This dissertation is comprised of three studies which investigate volatility in the stock and foreig...
This study investigates the relationship between macroeconomic factors and the stock market volatili...
This paper studies the potential correlation between the stock market of six relevant countries (Ge...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This study examines the dynamic relationship between the volatility of stock market and macroeconomi...
The rapid growth of capital markets in developing countries has come as a major event in recent fina...
Doctor of PhilosophyDepartment of EconomicsLance J. BachmeierThis dissertation investigates the long...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This study investigates the multidirectional relationship between the stock market and macroeconomic...
The present study examines the relationship between stock market volatility and the volatility of ma...
Purpose: The purpose of this paper is to analyse the relation between stock market volatility and ma...
Purpose: The purpose of this research paper is to analyse the relationship between macroeconomic fun...
The present study examines the relationship between stock market volatility and the volatility of m...
This paper attempts to determine the relationship between conditional stock market volatility and co...
This dissertation is comprised of three studies which investigate volatility in the stock and foreig...
This study investigates the relationship between macroeconomic factors and the stock market volatili...
This paper studies the potential correlation between the stock market of six relevant countries (Ge...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This study examines the dynamic relationship between the volatility of stock market and macroeconomi...
The rapid growth of capital markets in developing countries has come as a major event in recent fina...
Doctor of PhilosophyDepartment of EconomicsLance J. BachmeierThis dissertation investigates the long...
This paper aims to explore which macroeconomic factors affect the volatility of the automakers stock...
This study investigates the multidirectional relationship between the stock market and macroeconomic...
The present study examines the relationship between stock market volatility and the volatility of ma...