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Do Financial Activities Affect Stock Volatility?

원문정보

초록

영어

This paper re-examines the relation of stock volatility with those of macro-finance variables using data from 1950 to 2008. While confirming the findings in previous studies, in particular, the evidence of the greater stock return variability in economic downturn, it shows that much of the volatility is attributable to financial market activities since mid-1980s. It is argued that predictors of financial market activities can help to better explain stock volatility.

목차

Abstract
 1. Introduction
 2. Data
 3. Re-examination of Stock Volatility Regressions
  3.1 Stock Volatility and Future Business Condition
  3.2 Stock Volatility and Business Forecasts
 4. Stock Volatility and Financial Market Activities
 5. Conclusion
 References
 Table

저자정보

  • Daehong T. Jaang Department of Finance Hallym University

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