Chapter

Macroeconomic Volatility and Stock Market Volatility, World‐Wide*

Francis X. Diebold and Kamil Yilmaz

in Volatility and Time Series Econometrics

Published in print March 2010 | ISBN: 9780199549498
Published online May 2010 | e-ISBN: 9780191720567 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199549498.003.0006

Series: Advanced Texts in Econometrics

 Macroeconomic Volatility and Stock Market Volatility, World‐Wide*

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This chapter examines the cross-sectional relationship between stock market returns and volatility and a host of macroeconomic fundamentals. The exploration is motivated by financial economic theory, which suggests that the volatility of real activity should be related to stock market volatility. In addition, and crucially, the empirical approach exploits cross-sectional variation in fundamental and stock market volatilities, to uncover links that would likely be lost in a pure time series analysis.

Keywords: stock market volatility; stock market returns; macroeconomic fundamentals

Chapter.  6415 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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