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Connection Of European Economic Growth With The Dynamics Of Volatility Of Stock Market Returns

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  • CĂLIN, Adrian Cantemir

    (Institute for Economic Forecasting, Romanian Academy)

Abstract

The connections of macroeconomic growth and the financial markets are vastly studied in Europe mostly from the banking perspective. The impact of the capital markets on the economic development and the increased integration of all financial markets constitute an important element in the study of macroeconomic growth. The objective of this paper is to provide an analysis of the possible connections of the volatilities of stock market indexes computed with a GARCH model and the macroeconomic growth for a series of ten European countries. The problem of different frequencies – daily for the stock indexes and quarterly for the GDP growth – is solved by the use of the MIDAS methodology. We found connections of the dynamics of volatilities and main global events as well as the dependence of growth on these volatilities for some periods and some European countries.

Suggested Citation

  • CĂLIN, Adrian Cantemir, 2015. "Connection Of European Economic Growth With The Dynamics Of Volatility Of Stock Market Returns," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 53-66.
  • Handle: RePEc:vls:finstu:v:19:y:2015:i:1:p:53-66
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    References listed on IDEAS

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    Cited by:

    1. repec:eco:journ1:2017-02-83 is not listed on IDEAS
    2. Lucian-Liviu Albu & Radu Lupu & Adrian Cantemir Calin, 2015. "Interactions between financial markets and macroeconomic variables in EU: a nonlinear modeling approach," ERSA conference papers ersa15p685, European Regional Science Association.

    More about this item

    Keywords

    volatility; stock markets; MIDAS methodology;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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