Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25504
Full metadata record
DC FieldValueLanguage
dc.contributor.authorAbbas, Ghulamen_UK
dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorWang, Shouyangen_UK
dc.date.accessioned2018-01-10T23:33:20Z-
dc.date.available2018-01-10T23:33:20Z-
dc.date.issued2018en_UK
dc.identifier.urihttp://hdl.handle.net/1893/25504-
dc.description.abstractPurpose: The purpose of this paper is to analyse the relation between stock market volatility and macroeconomic fundamentals for G-7 countries 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.en_UK
dc.language.isoenen_UK
dc.publisherEmeralden_UK
dc.relationAbbas G, McMillan D & Wang S (2018) Conditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countries. Journal of Economic Studies, 45 (1), pp. 77-99. https://doi.org/10.1108/JES-03-2017-0062en_UK
dc.rightsPublisher policy allows this work to be made available in this repository. Published in Journal of Economic Studies, Vol. 45 Issue: 1, pp.77-99 by Emerald. The original publication is available at: https://doi.org/10.1108/JES-03-2017-0062. This article is deposited under the Creative Commons Attribution Non-commercial International Licence 4.0 (CC BY-NC 4.0). Any reuse is allowed in accordance with the terms outlined by the licence (https://creativecommons.org/licenses/by-nc/4.0/). To reuse the AAM for commercial purposes, permission should be sought by contacting permissions@emeraldinsight.com.en_UK
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/en_UK
dc.subjectG-7 countriesen_UK
dc.subjectstock markets volatilityen_UK
dc.subjectmacroeconomic fundamentalsen_UK
dc.subjectVAR modelsen_UK
dc.titleConditional Volatility Nexus between Stock Markets and Macroeconomic Variables: Empirical Evidence of G-7 Countriesen_UK
dc.typeJournal Articleen_UK
dc.identifier.doi10.1108/JES-03-2017-0062en_UK
dc.citation.jtitleJournal of Economic Studiesen_UK
dc.citation.issn0144-3585en_UK
dc.citation.volume45en_UK
dc.citation.issue1en_UK
dc.citation.spage77en_UK
dc.citation.epage99en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date01/01/2018en_UK
dc.contributor.affiliationUniversity of the Chinese Academy of Sciencesen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationUniversity of the Chinese Academy of Sciencesen_UK
dc.identifier.isiWOS:000418423800006en_UK
dc.identifier.scopusid2-s2.0-85038820581en_UK
dc.identifier.wtid526668en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2017-06-06en_UK
dcterms.dateAccepted2017-06-06en_UK
dc.date.filedepositdate2017-06-16en_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorAbbas, Ghulam|en_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.authorWang, Shouyang|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2018-01-01en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||2018-01-01en_UK
local.rioxx.licencehttp://creativecommons.org/licenses/by-nc/4.0/|2018-01-01|en_UK
local.rioxx.filenamejes_PDF_Proof.PDFen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0144-3585en_UK
Appears in Collections:Accounting and Finance Journal Articles

Files in This Item:
File Description SizeFormat 
jes_PDF_Proof.PDFFulltext - Accepted Version983.81 kBAdobe PDFView/Open


This item is protected by original copyright



A file in this item is licensed under a Creative Commons License Creative Commons

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

The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/

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.