期刊文献+
共找到1篇文章
< 1 >
每页显示 20 50 100
Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries 被引量:2
1
作者 Ghulam Abbas shawkat hammoudeh +2 位作者 Syed Jawad Hussain Shahzad Shouyang Wang Yunjie Wei 《Journal of Systems Science and Systems Engineering》 SCIE EI CSCD 2019年第1期1-36,共36页
We examine the relationship between return and volatility of the stock markets and macroeconomic fundamentals for the G-7 countries by using monthly data ranging from July 1985 to June 2015. To meet this end, we apply... We examine the relationship between return and volatility of the stock markets and macroeconomic fundamentals for the G-7 countries by using monthly data ranging from July 1985 to June 2015. To meet this end, we apply the spillover index approach based on the generalized VAR framework developed by Diebold and Yilmaz (2012, 2014). The empirical analysis shows strong interactions between the returns and volatilities of the G-7 stock markets and the considered set of corresponding macroeconomic factors including industrial production, money supply, interest rates, inflation, oil prices and exchange rates. The return and volatility spillover transmission/reception dynamics of the relationships between these stock markets and the macroeconomic fundamentals have changed after the global financial crisis of 2008. Our findings provide useful insights for investors and policy makers concerned with the unprecedented swings in the stock markets of G-7 countries. 展开更多
关键词 G-7 return VOLATILITY connectedness macroeconomic factors generalized VAR
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部