The asymmetric effect of the business cycle on the relation between stock market returns and their volatility

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The asymmetric effect of the business cycle on the relation between stock market returns and their volatility

Author Info

Peter N Smith (University of York)
S Sorensen (University of York)
M R Wickens (University of York)

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Abstract

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Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2005 with number 47.

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Date of creation: 03 Sep 2005
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Handle: RePEc:mmf:mmfc05:47

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Paper
- P N Smith & S Sorensen & M R Wickens, 2006. "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers 06/04, Department of Economics, University of York. [Downloadable!]
- P.N. Smith & S. Sorensen & M.R. Wickens, 2006. "The Asymmetric Effect Of The Business Cycle On The Relation Between Stock Market Returns And Their Volatility," CAMA Working Papers 2006-05, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-03-05 (All new papers)
NEP-FMK-2006-03-05 (Financial Markets)
NEP-MAC-2006-03-05 (Macroeconomics)

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.:

Smith, Peter N & Wickens, Michael R, 2002. "Macroeconomic Sources of FOREX Risk," CEPR Discussion Papers 3148, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Mike R Wickens & Peter N Smith, . "Macroeconmic Sources of FOREX Risk," Discussion Papers 01/13, Department of Economics, University of York. [Downloadable!]

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Cited by:
(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.)

Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]

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