Can macroeconomic volatility affect stock market volatility? : the case of 5 central and eastern European countries

Elena Baroian

This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging European countries. To account for the effects of fundamentals, modified ARCH/GARCH models are employed. The results are discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the sole significant explanatory variable.

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Year of publication:	2014
Authors:	Baroian, Elena
Published in:	Romanian journal of fiscal policy : RJFP. - București : Editura ASE, ISSN 2069-0983, ZDB-ID 2660586-7. - Vol. 5.2014, 2, p. 41-55
Subject:	Macroeconomic volatility \| stock market volatility \| panel estimation \| Volatilität \| Volatility \| Aktienmarkt \| Stock market \| Börsenkurs \| Share price \| Schätzung \| Estimation \| Osteuropa \| Eastern Europe \| Konjunktur \| Business cycle \| ARCH-Modell \| ARCH model

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzung: Acrobat Reader
Other identifiers:	hdl:10419/107958 [Handle]
Classification:	c58 ; E44 - Financial Markets and the Macroeconomy ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

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