Macroeconomic Determinants of European Stock Market Volatility PDF Download
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Author: Vihang R. Errunza Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this paper we investigate whether macroeconomic variability can explain time variation in European stock market volatility. We find that unlike the documented case of the U.S., in many cases, the time variation in stock market volatility is found to be significantly affected by the past variability of either monetary or real macroeconomic factors. Our findings have important implications for capital and portfolio allocations.
Author: Vihang R. Errunza Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this paper we investigate whether macroeconomic variability can explain time variation in European stock market volatility. We find that unlike the documented case of the U.S., in many cases, the time variation in stock market volatility is found to be significantly affected by the past variability of either monetary or real macroeconomic factors. Our findings have important implications for capital and portfolio allocations.
Author: Tony Southall Publisher: Springer Science & Business Media ISBN: 3790820741 Category : Business & Economics Languages : en Pages : 200
Book Description
EU membership involves political and economic reforms which influence financial markets in the new member states. This study empirically explores and quantifies the effects of EU accession on the risk and return of equity markets in eight Central and Eastern European markets joining the EU in 2004. The study also incorporates a review of how the influence of macroeconomic variables and the level of integration with global and European markets change as a result of EU membership. Based on empirical tests using weekly data over ten years, this study concludes that EU membership results in a significant decline in equity market volatility and a significant increase in risk-adjusted, but not absolute, equity returns. Furthermore, the study suggests that equity markets in new EU member states become increasingly influenced by global rather than local macroeconomic factors after the EU accession and that the level of integration with global markets increases.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Vihang R. Errunza
Author: Vihang R. Errunza
Author: Valentina Corradi
Author: Tony Southall
Author: Valentina Corradi
Author: Erica R. Perego
Author: Valentina Corradi
Author: Tobias R. Rühl
Author: Greg N. Gregoriou
Author: Jose Gonzalo Rangel
Author: John H. Cochrane