Macroeconomic Volatility and Stock Market Volatility,World-Wide

Francis Diebold and Kamil Yilmaz ()

Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum

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. 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: E0 G1 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2007-11
New Economics Papers: this item is included in nep-bec, nep-cfn, nep-ets, nep-mac and nep-rmg
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Macroeconomic Volatility and Stock Market Volatility, Worldwide (2008)
Working Paper: Macroeconomic Volatility and Stock Market Volatility, World-Wide (2008)
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