Cyclicality of stock market volatility

Yu You and Xiaochun Liu ()

Applied Economics Letters, 2019, vol. 26, issue 8, 645-649

Abstract: By utilizing the significance and stochastic dominance tests, this paper formally tests the relationship between stock market volatility and the business cycle. Results show that, for most matured markets, stock market volatility is countercyclical, while for emerging markets, the volatility can be procyclical.

Date: 2019
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DOI: 10.1080/13504851.2018.1489105

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