Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data

Eva Liljeblom, Marianne Stenius

Forskningsoutput: TidskriftsbidragArtikelPeer review

39 Citeringar (Scopus)

Sammanfattning

The relationship is analysed between conditional stock market volatility and macroeconomic volatility using monthly data for Finland from 1920 to 1991. Conditional monthly volatility is measured as simple weighted moving averages, and also obtained from GARCH estimations. The results are surprisingly strong as compared to those on US data. Significant results are obtained from stock market volatility as a predictor for macroeconomic volatility, as well as the converse. Tests of the joint and simultaneous explanatory power of the macroeconomic volatilities indicate that between one-sixth to above two-thirds of the changes in aggregate stock volatility might be related to macroeconomic volatility. Some evidence of a negative relationship between stock market volatility and trading volume growth was also detected. This result could either be interpreted as an effect of idiosyncratic demand shifts cancelling out as the thickness of the market is increasing, or as a sign of volume growth being some proxy for the level of economic activity.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftApplied Financial Economics
Volym7
Utgåva4
Sidor (från-till)419-426
Antal sidor8
ISSN0960-3107
DOI
StatusPublicerad - 1997
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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  • 512 Företagsekonomi

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