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Macroeconomic Volatility and Stock Market Volatility,World-Wide

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Author Info
Francis X. Diebold (University of Pennsylvania and NBER)
Kamil Yılmaz ()

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Abstract

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. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.

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Publisher Info
Paper provided by TUSIAD-Koc University Economic Research Forum in its series TÜSİAD-Koç University Economic Research Forum Working Papers with number 0711.

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Length: 36 pages
Date of creation: Nov 2007
Date of revision:
Handle: RePEc:koc:wpaper:0711

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Related research
Keywords: Financial market; equity market; asset return; risk; variance; asset pricing;

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Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
E0 - Macroeconomics and Monetary Economics - - General

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
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  6. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November. [Downloadable!] (restricted)
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  20. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," PIER Working Paper Archive 04-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Jun 2004. [Downloadable!]
    Other versions:
  21. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Azariadis, Costas & Kaas, Leo, 2009. "Capital misallocation and aggregate factor productivity," MPRA Paper 15733, University Library of Munich, Germany. [Downloadable!]
    Other versions:
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