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The relationship between conditional stock market volatility and conditional macroeconomic volatility
13 references·13 citing·38 second hop
The relationship between conditional stock market volatility and conditional macroeconomic volatility (2002)The relationship between conditional stoc…Share Prices and Macroeconomic Factors (1997)Share Prices and Macroeconomi…Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data (1997)Macroeconomic volatility and …MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET (1994)MACROECONOMIC FACTORS, THE AP…Stock returns and volatility: An empirical study of the UK stock market (1992)Stock returns and volatility:…MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS AND THE…Stock Returns and Volatility (1990)Stock Returns and VolatilityWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Does macroeconomic uncertainty really matter in predicting stock market behavior? A comparative study on China and USA (2020)Does macroeconomic uncertaint…Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India (2017)Dynamic Linkages Between Macr…Conditional volatility nexus between stock markets and macroeconomic variables (2017)Conditional volatility nexus …Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016)Stock market volatility and b…Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships (2016)Macroeconomic Factors and the…Firm return volatility and economic gains: The role of oil prices (2014)Firm return volatility and ec…Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia (2012)Empirical evidence on the rel…MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA* (2011)MACROECONOMIC UNCERTAINTY AND…Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return (2011)Impact of the Monetary Policy…Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market (2007)Stock Market Volatility Trans…Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison (2007)Conditional Volatility of Equ…Stock Return Volatility and Market Crisis In Emerging Economies (2004)Stock Return Volatility and M…ECONOMIC FORCES IN THE LONDON STOCK MARKET (1988)ECONOMIC FORCES IN THE LONDON…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)Volatility spillovers across equity markets: European evidence (1998)The stochastic volatility in mean model: empirical evidence from international stock markets (2002)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Macroeconomic influences on the stock market (2001)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)The effects of macroeconomic factors on stock returns: Istanbul Stock Market (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Multivariate GARCH models: a surveyCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1990Stock Returns and Volatility722 cited
  • 1992Stock returns and volatility: An empirical study of the UK stock market200 cited
  • 1991MACROECONOMIC FACTORS AND THE UK STOCK MARKET147 cited
  • 1997Share Prices and Macroeconomic Factors143 cited
  • 1994MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET125 cited
  • 1997Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data91 cited

Cited by

  • 2014Firm return volatility and economic gains: The role of oil prices134 cited
  • 2016Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests

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121 cited
  • 2011MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*112 cited
  • 2007Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market94 cited
  • 1988ECONOMIC FORCES IN THE LONDON STOCK MARKET74 cited
  • 2020Does macroeconomic uncertainty really matter in predicting stock market behavior? A comparative study on China and USA66 cited
  • 2012Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia56 cited
  • 2007Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison42 cited
  • 2016Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships39 cited
  • 2004Stock Return Volatility and Market Crisis In Emerging Economies37 cited
  • 2017Conditional volatility nexus between stock markets and macroeconomic variables32 cited
  • 2011Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return26 cited
  • 2017Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India21 cited