Affordable Access

Macroeconomic Volatility and Stock Market Volatility, World-Wide

  • Economics


Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.

There are no comments yet on this publication. Be the first to share your thoughts.