returnandvolatilityconnectednessbetweenstockmarketsandmacroeconomicfactorsintheg7countries
文献类型：期刊论文
| 作者 | Abbas Ghulam4; Hammoudeh Shawkat1; Shahzad Syed Jawad Hussain3; Wang Shouyang2 ; Wei Yunjie2
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| 刊名 | journalofsystemsscienceandsystemsengineering
 |
| 出版日期 | 2019 |
| 卷号 | 28期号:1页码:1 |
| ISSN号 | 1004-3756 |
| 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] ; [National Center for Mathematics and Interdisciplinary Sciences, CAS] |
| 语种 | 英语 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/44293]  |
| 专题 | 系统科学研究所 |
| 作者单位 | 1.Lebow College of Business,Drexel University,Philadelphia,United States Energy and Sustainable Development ,Montpellier Business School 2.中国科学院数学与系统科学研究院 3.Energy and Sustainable Development ,Montpellier Business School 4.中国科学院 |
| 推荐引用方式 GB/T 7714 | Abbas Ghulam,Hammoudeh Shawkat,Shahzad Syed Jawad Hussain,et al. returnandvolatilityconnectednessbetweenstockmarketsandmacroeconomicfactorsintheg7countries[J]. journalofsystemsscienceandsystemsengineering,2019,28(1):1. |
| APA | Abbas Ghulam,Hammoudeh Shawkat,Shahzad Syed Jawad Hussain,Wang Shouyang,&Wei Yunjie.(2019).returnandvolatilityconnectednessbetweenstockmarketsandmacroeconomicfactorsintheg7countries.journalofsystemsscienceandsystemsengineering,28(1),1. |
| MLA | Abbas Ghulam,et al."returnandvolatilityconnectednessbetweenstockmarketsandmacroeconomicfactorsintheg7countries".journalofsystemsscienceandsystemsengineering 28.1(2019):1. |
入库方式： OAI收割
来源：数学与系统科学研究院
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