Macroeconomic Volatility and Stock Market Volatility, World-Wide

Francis Diebold () and Kamil Yilmaz ()

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.

Keywords: Financial market; equity market; asset return; risk; variance; asset pricing (search for similar items in EconPapers)
JEL-codes: G1 E0 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-mac and nep-rmg
Date: 2008-08-06
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http://economics.sas.upenn.edu/system/files/08-031.pdf (application/pdf)

Related works:
Working Paper: Macroeconomic Volatility and Stock Market Volatility, Worldwide (2008)
Working Paper: Macroeconomic Volatility and Stock Market Volatility,World-Wide (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:pen:papers:08-031

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