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

41 Pages Posted: 22 Nov 2017 Last revised: 6 Apr 2020

See all articles by Lena Dräger

Lena Dräger

Leibniz University Hannover

Duc Binh Benno Nguyen

Leibniz Universität Hannover - Faculty of Economics and Management

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management; University of Reading - ICMA Centre

Philipp Sibbertsen

University of Hannover

Date Written: November 20, 2017

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

JEL Classification: G15, C22, F30, F40

Suggested Citation

Dräger, Lena and Nguyen, Duc Binh Benno and Prokopczuk, Marcel and Sibbertsen, Philipp, The Long Memory of Equity Volatility and the Macroeconomy: International Evidence (November 20, 2017). Available at SSRN: https://ssrn.com/abstract=3074551 or http://dx.doi.org/10.2139/ssrn.3074551

Lena Dräger

Leibniz University Hannover ( email )

Königsworther Platz 1
Hannover, 30167
Germany

Duc Binh Benno Nguyen (Contact Author)

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Philipp Sibbertsen

University of Hannover ( email )

Welfengarten 1
D-30167 Hannover, 30167
Germany

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