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The macroeconomic determinants of technology stock price volatility

  • Sadorsky, Perry
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    File URL: http://www.sciencedirect.com/science/article/B6W61-46YXV70-1/2/4992613469687db66ba1058969954c30
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    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 12 (2003)
    Issue (Month): 2 ()
    Pages: 191-205

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    Handle: RePEc:eee:revfin:v:12:y:2003:i:2:p:191-205
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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    1. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
    2. Kiseok Lee & Shawn Ni & Ronald A. Ratti, 1995. "Oil Shocks and the Macroeconomy: The Role of Price Variability," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 39-56.
    3. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    4. Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-603, September.
    5. Darrat, Ali F & Brocato, Joe, 1994. "Stock Market Efficiency and the Federal Budget Deficit: Another Anomaly?," The Financial Review, Eastern Finance Association, vol. 29(1), pages 49-75, February.
    6. Perry Sadorsky, 2001. "Broken trend output in a model of stock returns and economic activity," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 17-21.
    7. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    8. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    9. Willem Thorbecke, 1998. "On Stock Market Returns and Monetary Policy," Macroeconomics 9812009, EconWPA.
    10. Colm Kearney & Kevin Daly, 1998. "The causes of stock market volatility in Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 597-605.
    11. Darrat, Ali F & Gilley, Otis W & Meyer, Don J, 1996. "US Oil Consumption, Oil Prices, and the Macroeconomy," Empirical Economics, Springer, vol. 21(3), pages 317-34.
    12. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-53, July.
    13. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
    14. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
    15. Kramer, Charles, 1994. " Macroeconomic Seasonality and the January Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1883-91, December.
    16. Peter Ferderer, J., 1996. "Oil price volatility and the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 1-26.
    17. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    18. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-79, March.
    19. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
    20. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June.
    21. Fama, Eugene F., 1976. "Forward rates as predictors of future spot rates," Journal of Financial Economics, Elsevier, vol. 3(4), pages 361-377, October.
    22. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
    23. Patelis, Alex D, 1997. " Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-72, December.
    24. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
    25. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
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