Macroeconomic Volatility and Stock Market Volatility, Worldwide
NBER Working Paper No. 14269
Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.
Document Object Identifier (DOI): 10.3386/w14269
Users who downloaded this paper also downloaded* these: