The Relation of Stock Market Volatility with Macroeconomic Volatility and Stock Trading Volume
| Autor: | Hsiu-wen Lee, 李秀雯 |
|---|---|
| Rok vydání: | 1999 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 87 This paper analyzes the relation of stock market volatility with macroeconomic volatility, and stock trading volume using monthly data from 1976 to 1998. The purpose is to investigate whether changes is stock market volatility through time can be attributed to time-varying volatility of a set of macroeconomic volatility, and stock trading volume. The study is organized as follows. Firstly, conditional monthly volatility is measured as simple weighted moving averages and also obtained from GARCH estimations. Secondly, the relation between conditional stock market volatility and conditional macroeconomic volatility were investigated by the estimation of two-variable 12th-order vector autoregressive (VAR) models and regressing the stock volatility on contemporary values of all the macroeconomic volatilities. Finally, the relation between stock market trading activity and volatility were investigated by regressing the volatility estimates on contemporaneous volume growth and 12 lagged growth rates, and the estimation of VAR models. The empirical results indicate： 1. The relationships between macroeconomic volatility and stock market volatility： By using the simple weighted moving averages and the GARCH, the analyses indicate that significant relationchips between three of the four macroeconomic variables (money supply、industrial production、terms of trade variable), and stock market volatility during the last subperiod. In general, strong evidence was obtained for a relationship between stock market volatility and terms of trade TOT volatility during the most time period. 2. The relationships between stock trading volume and stock market volatility： We found that stock volatility with trading volume growth has a positive effect deferred 3 month. In VAR model, the trading volume growth has one way causal relation to stock volatility. We confirm previous empirical finding that trading volume growth leads stock volatility. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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