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Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries

文献类型：期刊论文

作者Abbas, Ghulam1,2; Hammoudeh, Shawkat3,4; Shahzad, Syed Jawad Hussain4; Wang, Shouyang1,5; Wei, Yunjie1,5,6
刊名JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING
出版日期2019-02-01
卷号28期号:1页码:1-36
关键词G-7 return volatility connectedness macroeconomic factors generalized VAR
ISSN号1004-3756
DOI10.1007/s11518-018-5371-y
英文摘要We examine the relationship between return and volatility of the stock markets and macroeconomic fundamentals for the G-7 countries by using monthly data ranging from July 1985 to June 2015. To meet this end, we apply the spillover index approach based on the generalized VAR framework developed by Diebold and Yilmaz (2012, 2014). The empirical analysis shows strong interactions between the returns and volatilities of the G-7 stock markets and the considered set of corresponding macroeconomic factors including industrial production, money supply, interest rates, inflation, oil prices and exchange rates. The return and volatility spillover transmission/reception dynamics of the relationships between these stock markets and the macroeconomic fundamentals have changed after the global financial crisis of 2008. Our findings provide useful insights for investors and policy makers concerned with the unprecedented swings in the stock markets of G-7 countries.
资助项目National Natural Science Foundation of China[71501176] ; National Center for Mathematics and Interdisciplinary Sciences, CAS
WOS研究方向Operations Research & Management Science
语种英语
WOS记录号WOS:000458257400001
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/32423]  
专题系统科学研究所
通讯作者Wei, Yunjie
作者单位1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
2.Sukkur Inst Business Adm, Sukkur 65200, Sindh, Pakistan
3.Drexel Univ, Lebow Coll Business, Philadelphia, PA 19104 USA
4.Montpellier Business Sch, ESD, Montpellier, France
5.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
6.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Abbas, Ghulam,Hammoudeh, Shawkat,Shahzad, Syed Jawad Hussain,et al. Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries[J]. JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING,2019,28(1):1-36.
APA Abbas, Ghulam,Hammoudeh, Shawkat,Shahzad, Syed Jawad Hussain,Wang, Shouyang,&Wei, Yunjie.(2019).Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries.JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING,28(1),1-36.
MLA Abbas, Ghulam,et al."Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries".JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING 28.1(2019):1-36.

入库方式： OAI收割

来源：数学与系统科学研究院

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