The long memory of equity volatility and the macroeconomy: International evidence

Arbeitspapier

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates and unemployment. Moreover, we find that developed economies possess longer memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic conditions, which is prevalent across a large range of countries.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Hannover Economic Papers (HEP) ; No. 667

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; International Finance: General ; Macroeconomic Aspects of International Trade and Finance: General
• Thema: International ; Long Memory ; Volatility

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dräger, Lena ; Nguyen, Duc Binh Benno ; Prokopczuk, Marcel ; Sibbertsen, Philipp
• Ereignis: Veröffentlichung
• (wer): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (wo): Hannover
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/216967
• Letzte Aktualisierung: 10.03.2025, 11:47 MEZ