Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25504
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Conditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countries (Forthcoming)
Authors: McMillan, David
Contact Email: david.mcmillan@stir.ac.uk
Keywords: G-7 countries
stock markets volatility
macroeconomic fundamentals
VAR models
Citation: McMillan D (2017) Conditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countries (Forthcoming), Journal of Economic Studies.
Abstract: Purpose: The relation between stock market volatility and macroeconomic fundamentals for G-7 countries is analyzed using monthly data over the period from July 1985 to June 2015.  Methodology: The empirical methodology is based on two steps: in the first step, we obtain the conditional volatilities of stock market returns and macroeconomic variables through the GARCH family of models. We also incorporate the impact of early 2000s dotcom and the global financial crises. In the second step, we estimate multivariate vector autoregressive (VAR) model to analyze the dynamic relation between stock markets return and macroeconomic variables.  Findings: The overall results for G-7 countries indicate a weak volatility transmission from macroeconomic factors to stock market volatility at individual level but the collective impact of volatility transmission is highly significant. Although, the results of block exogeneity indicate a bidirectional causality except for the UK, but the causal linkage is quite weak from stock market to macroeconomic variables. Moreover, the local financial variables excluding interest rate are closely integrated, and the volatility of industrial production growth and oil price are identified as the most significant macroeconomic factors that could possibly influence the directions of stock markets.  Originality: This research establishes the nature of the links between stock market and macroeconomic volatility. Research to date has been unable to satisfactorily establish the empirical nature of such links. We believe this paper begins to do this.
Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.

Files in This Item:
File Description SizeFormat 
jes_PDF_Proof.PDF937.46 kBAdobe PDFUnder Embargo until 7/6/2019     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.



This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.