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Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets
16 references·16 citing·42 second hopsampled
Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets (2006)Empirical relationship between macroecono…The dynamics of emerging market equity flows (2002)The dynamics of emerging mark…Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Selecting macroeconomic varia…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Generalised Impulse Response …Emerging equity market volatility (1997)Emerging equity market volati…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Stock returns and inflation: A long-horizon perspective (1993)Stock returns and inflation: …Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…The World Price of Covariance Risk (1991)The World Price of Covariance…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Expected stock returns and volatility (1987)Expected stock returns and vo…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Macroeconomics and Reality (1980)Macroeconomics and RealityStock market reactions to domestic sentiment: Panel CS-ARDL evidence (2020)Stock market reactions to dom…Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system (2020)Dance with the devil? The nex…The impact of Baidu Index sentiment on the volatility of China's stock markets (2019)The impact of Baidu Index sen…International stock market contagion: A CEEMDAN wavelet analysis (2018)International stock market co…The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis (2017)The Impact of Macroeconomic I…Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets (2017)Shanghai-Hong Kong Stock Conn…Stock returns and interest rates around the World: A panel data approach (2016)Stock returns and interest ra…Are environmental social governance equity indices a better choice for investors? An Asian perspective (2016)Are environmental social gove…Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach (2015)Do global risk factors and ma…Co-integration and causality analysis between stock market prices and their determinates in Jordan (2013)Co-integration and causality …The Relationship Between Macro Economic Variables And Stock Market Performance In Kenya (2012)The Relationship Between Macr…The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data (2012)The Impact of Macroeconomic F…The Role of Macroeconomic Variables on Stock Market Index in China and India (2011)The Role of Macroeconomic Var…Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation (2011)Macroeconomic Variables and S…Financial globalization and stock market risk (2011)Financial globalization and s…Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM (2010)Combined DEMATEL technique wi…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (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)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Asset Prices in an Exchange Economy (1978)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 1993Stock returns and inflation: A long-horizon perspective426 cited
  • 1997Generalised Impulse Response Analysis in Linear Multivariate Models412 cited
  • 2002The dynamics of emerging market equity flows341 cited
  • 2001Selecting macroeconomic variables as explanatory factors of emerging stock market returns

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279 cited

Cited by

  • 2010Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM173 cited
  • 2011The Role of Macroeconomic Variables on Stock Market Index in China and India150 cited
  • 2019The impact of Baidu Index sentiment on the volatility of China's stock markets145 cited
  • 2012The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data116 cited
  • 2015Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach114 cited
  • 2020Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system93 cited
  • 2017The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis90 cited
  • 2016Are environmental social governance equity indices a better choice for investors? An Asian perspective81 cited
  • 2013Co-integration and causality analysis between stock market prices and their determinates in Jordan74 cited
  • 2017Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets73 cited
  • 2011Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation66 cited
  • 2016Stock returns and interest rates around the World: A panel data approach64 cited
  • 2012The Relationship Between Macro Economic Variables And Stock Market Performance In Kenya60 cited
  • 2018International stock market contagion: A CEEMDAN wavelet analysis54 cited
  • 2020Stock market reactions to domestic sentiment: Panel CS-ARDL evidence54 cited
  • 2011Financial globalization and stock market risk44 cited