The Long Memory of Equity Volatility and the Macroeconomy: International Evidence

Lena Dräger, Duc Binh Benno Nguyen, Marcel Prokopczuk () and Philipp Sibbertsen

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates and unemployment. Moreover, we find that developed economies possess longer memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic conditions, which is prevalent across a large range of countries.

Keywords: International; Long Memory; Volatility (search for similar items in EconPapers)
JEL-codes: C22 F30 F40 G15 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2020-02
New Economics Papers: this item is included in nep-ets, nep-ifn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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