Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models
Riza Demirer,
Rangan Gupta,
He Li (2877882585@qq.com) and
Yu You
Additional contact information
He Li: School of International Economics and Politics, Liaoning University, Shenyang, Liaoning, China
No 202112, Working Papers from University of Pretoria, Department of Economics
Abstract:
This paper establishes a predictive relationship between financial vulnerability and volatility in emerging stock markets. Focusing on China and India and utilizing GARCH-MIDAS models, we show that incorporating financial vulnerability can substantially improve the forecasting power of standard macroeconomic fundamentals (output growth, inflation and monetary policy interest rate) for stock market volatility. The findings have significant implications for investors to improve the accuracy of volatility forecasts.
Keywords: Stock Market Volatility; Financial Vulnerability; GARCH-MIDAS; Emerging Markets (search for similar items in EconPapers)
JEL-codes: C32 C53 G15 G17 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2021-02
New Economics Papers: this item is included in nep-cwa, nep-ets, nep-fmk, nep-for, nep-mac and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (2)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202112
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta (rangan.gupta@up.ac.za).