Journal article
Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries
Journal of systems science and systems engineering, v 28(1), pp 1-36
01 Feb 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
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.
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Details
- Title
- Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries
- Creators
- Ghulam Abbas - University of Chinese Academy of SciencesShawkat Hammoudeh - Montpellier Business SchoolSyed Jawad Hussain Shahzad - Montpellier Business SchoolShouyang Wang - University of Chinese Academy of SciencesYunjie Wei - University of Chinese Academy of Sciences
- Publication Details
- Journal of systems science and systems engineering, v 28(1), pp 1-36
- Publisher
- Springer Nature
- Number of pages
- 36
- Grant note
- 71501176 / National Natural Science Foundation of China; National Natural Science Foundation of China (NSFC) National Center for Mathematics and Interdisciplinary Sciences, CAS; Chinese Academy of Sciences
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000458257400001
- Scopus ID
- 2-s2.0-85054360817
- Other Identifier
- 991019167624204721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Operations Research & Management Science