IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data

  • Eva Liljeblom
  • Marianne Stenius

The relationship is analysed between conditional stock market volatility and macroeconomic volatility using monthly data for Finland from 1920 to 1991. Conditional monthly volatility is measured as simple weighted moving averages, and also obtained from GARCH estimations. The results are surprisingly strong as compared to those on US data. Significant results are obtained from stock market volatility as a predictor for macroeconomic volatility, as well as the converse. Tests of the joint and simultaneous explanatory power of the macroeconomic volatilities indicate that between one-sixth to above two-thirds of the changes in aggregate stock volatility might be related to macroeconomic volatility. Some evidence of a negative relationship between stock market volatility and trading volume growth was also detected. This result could either be interpreted as an effect of idiosyncratic demand shifts cancelling out as the thickness of the market is increasing, or as a sign of volume growth being some proxy for the level of economic activity.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 7 (1997)
Issue (Month): 4 ()
Pages: 419-426

in new window

Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:419-426
Contact details of provider: Web page:

Order Information: Web:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:419-426. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.