Conditional macroeconomic and stock market volatility under regime switching: Empirical evidence from Africa

Autor:	Albert A. Agyemang-Badu, Fernando Gallardo Olmedo, José María Mella Márquez
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	stock markets volatility macroeconomic uncertainty african countries markov switching regression Applied mathematics. Quantitative methods T57-57.97 Finance HG1-9999
Zdroj:	Quantitative Finance and Economics, Vol 8, Iss 2, Pp 255-285 (2024)
Druh dokumentu:	article
ISSN:	2573-0134
DOI:	10.3934/QFE.2024010?viewType=HTML
Popis:	We used the Markov switching regression model to establish a relationship between the conditional stock market returns and macroeconomic volatilities. Monthly data from thirteen (13) African stock markets and macroeconomic variables (exchange rate, inflation, interest rate, money supply, and crude oil price) from 2003 to 2022 were employed. We confirmed the existence of two distinct regimes: An economic expansion or a "tranquil" state with less volatility and an economic decline or a "crisis" state with high volatility. Our findings indicated that macroeconomic variables significantly affect both expansion and crisis periods. However, the estimated coefficients were more significant in a tranquil than in a crisis state. The findings of the study were consistent with macroeconomic theory and pointed out policy implications.
Databáze:	Directory of Open Access Journals
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