Macroeconomic Volatility and Stock Market Volatility, World-Wide
35 Pages Posted: 25 Aug 2008
Date Written: August 25, 2008
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
JEL Classification: G1, E0
Suggested Citation: Suggested Citation