Asset prices and economic fluctuations: The implications of stochastic volatility

Chen, Junping; Xiong, Xiong; Zhu, Jie; Zhu, Xiaoneng

doi:10.1016/j.econmod.2017.03.017

Cited by 8 publications

(2 citation statements)

References 34 publications

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“…Connecting economic fluctuations and asset prices, Chen et al (2017) sharpen the understanding of the link between the stock market prices and economic fundamentals through the use of the Fama and French (1993) three factors model. They concluded that assets return conditional stochastic volatility was associated with economic uncertainty.…”

Section: Introductionmentioning

confidence: 99%

Electoral influences on the Brazilian B3 data correlation network

Cardoso

Junior²

2022

Int. J Fin Econ

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In any society, the relationship between economy and politics is characterized by controversy, enigmas and mysteries. Economic performance affects political results, and the political environment and its process produce financial results. Brazil was hit by economic and political crises from 2012 to 2016. Such crises made it possible to redesign the correlation network between the assets negotiated on the B3 (Brazil Stock Exchange and Over‐the‐Counter Market). This paper aimed to analyse the main aspects related to the topological structure of the assets negotiated on the B3 and its volatility between the pre‐and post‐2014 electoral periods. Results showed the hierarchical clusters and the evolution of the systemic risk, with the banks leading the concentration in the post‐electoral period. The closeness centrality indices for the minimum variance portfolios were modified by approximately 80% between the pre‐electoral and post‐electoral periods. It was concluded that the political events significantly changed the structure, the risk and the possibility of selecting assets for portfolios in the Brazilian market.

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Section: Introductionmentioning

confidence: 99%

Electoral influences on the Brazilian B3 data correlation network

Cardoso

Junior²

2022

Int. J Fin Econ

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“…Therefore, volatility in the financial market should be connected to the uncertainty about the state of the economy. Moreover, stock pricing factors volatility is significantly related to macroeconomic volatility (Chen et al, 2017). Since, investors are risk-averse, excessive volatility, and hence riskiness erodes investors' confidence (Tokmakcioglu and Tas, 2014).…”

Section: Introductionmentioning

confidence: 99%

Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

Ali¹

2021

BİLTÜRK Journal of Economics and Related Studies

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This study investigates the impact of macroeconomic variability on stock market volatility in Bangladesh covering the data ranging from January 2005 to December 2018 by using three steps of analysis. Firstly, the univariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is employed to estimate the time-varying conditional variance series for stock return and macroeconomic fundamentals. In the second phase, the volatility effect of macroeconomic forces on stock return is estimated by using the most recent standardized squared residuals of macroeconomic fundamentals as exogenous variables in the conditional variance equation of stock returns. Finally, Vector Auto Regression (VAR) model is used to examine the possible interaction between macroeconomic forces and stock price. The findings of the study evidence that increased volatility in Consumer Price Index, Treasury Bill Rates, and inflow in Foreign Remittance increases the stock return volatility whilst fluctuations in IP leads to a decrease in stock return volatility. Therefore, the implication of these findings documents that both the stock market and macroeconomic forces becoming interdependent in Bangladesh.

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