Empirical Relationship Between Stock Return Volatility and Macroeconomic Volatility Evidence from South East Asia Emerging Market PDF Download

Author: Praphon Kanokwichitsilp
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 120

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Author: Zuliu Hu
Publisher: International Monetary Fund
ISBN: 1451852584
Category : Business & Economics
Languages : en
Pages : 26

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Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.

Author: Syed Kamran Haider
Publisher:
ISBN:
Category :
Languages : en
Pages : 20

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This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Macroeconomic factors used in this study are industrial production, real interest rate, inflation, money supply and exchange rate from 2000-2014. Finally this study shows that in Pakistani scenario there exist relationship among the volatility of macroeconomic factors and that of stock returns. The relationship among the volatility of macroeconomic variables and that of stock returns is bidirectional; both of these affect each other in different dynamics.

Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28

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Author: Roni Bhowmik
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

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This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom, Japan, and Singapore) stock markets. During the sample period, these emerging markets have experienced both rapid growth and major turmoil. Firstly, the Generalized Autoregressive Conditional Heteroskedastic (GARCH) family models are used, and the correlation in conditional variances is calculated to show the relationship in the volatilities of the returns in these markets. Then, the cross-correlation function tests are conducted to investigate the causality patterns of the stock returns and volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of unexpected shocks. The evidence suggests that both the returns and volatility linkages exist between the emerging Asia and the developed stock markets. From causality test, it is found that both returns and return variances linkages exist between the emerging Asian and selected developed countries. Nevertheless United States influences the other countries most on both the mean and variance patterns. In addition, the volatilities to unexpected shocks in various markets, especially, come from neighboring country markets and more developed country markets.

Author: Hung Ngo
Publisher:
ISBN:
Category :
Languages : en
Pages : 16

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Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.Findings - The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.Practical implications - The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.Originality/value - This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research's empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.

Author: Haryadi Haryadi
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

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We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an emerging market, Indonesia, using high-frequency data and a rolling observation model. We find different patterns of intraday volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most domestic macroeconomic announcements impact on the volatility, contrary to the literature, we find no evidence of impact from the US macroeconomic announcements. We also find the 2008 global financial crisis significantly influences the impact of macroeconomic announcements on the volatility of Indonesian equity market returns.

Author: Kanokwan Chancharoenchai
Publisher:
ISBN:
Category : Korea (South)
Languages : en
Pages : 292

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Author:
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 21

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Author: Anthony J. Richards
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 52

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Book Description
This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper also tests for the predictability of long-horizon returns in emerging markets. While there is evidence for positive autocorrelation in returns at horizons of one or two quarters, the autocorrelations appear to turn negative at horizons of a year or more. However, the magnitude of the apparent return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries. In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.