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Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia
16 references·4 citing·36 second hop
Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia (2012)Empirical evidence on the relationship be…Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis (2012)Macroeconomic Variables and M…Macroeconomic determinants of Malaysian stock market (2009)Macroeconomic determinants of…The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes (2005)The Spline GARCH Model for Un…The relationship between conditional stock market volatility and conditional macroeconomic volatility (2002)The relationship between cond…Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis (1999)Macroeconomic Variables and S…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…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…Stock Returns and Volatility (1990)Stock Returns and VolatilityWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…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…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…Impact of corporate board size and board independence on stock returns volatility in Ghana (2023)Impact of corporate board siz…Indonesian Stock Market Volatility: GARCH Model (2020)Indonesian Stock Market Volat…The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea (2018)The role of economic policy u…Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, dan Firm Size terhadap Volatilitas Harga Saham (2018)Pengaruh Kebijakan Dividen, N…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Generalized autoregressive conditional heteroskedasticity (1986)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)The Behavior of Stock-Market Prices (1965)International Evidence on the Robustness of the Day-of-the-Week Effect (1993)Hourly volatility spillovers between international equity markets (1994)The Individual Investor and the Weekend Effect (1994)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Time-varying estimates of CAPM betas (1999)A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia (2004)Econometric Analysis of Cross Section and Panel Data (2001)Macroeconomic variables and the Malaysian equity market (2003)EFFECT OF MACROECONOMIC VARIABLES ON STOCK MARKET RETURNS FOR FOUR EMERGING ECONOMIES: BRAZIL, RUSSIA, INDIA, AND CHINA (2008)Macroeconomic factors and stock returns: Evidence from Taiwan (2011)Using Financial Data to Measure Effects of Regulation (1981)The Persistence of Volatility and Stock Market Fluctuations (1984)Stock Market Volatility (1990)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
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  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 1999Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis146 cited
  • 1997Share Prices and Macroeconomic Factors143 cited
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  • 1994MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET125 cited
  • 2005The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes102 cited
  • 1997Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data91 cited
  • 2012Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis

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75 cited
  • 2002The relationship between conditional stock market volatility and conditional macroeconomic volatility75 cited
  • Cited by

    • 2018The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea96 cited
    • 2020Indonesian Stock Market Volatility: GARCH Model53 cited
    • 2018Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, dan Firm Size terhadap Volatilitas Harga Saham35 cited
    • 2023Impact of corporate board size and board independence on stock returns volatility in Ghana18 cited