KMS Of Academy of mathematics and systems sciences, CAS
| Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries | |
Abbas, Ghulam1,2; Hammoudeh, Shawkat3,4; Shahzad, Syed Jawad Hussain4; Wang, Shouyang1,5 ; Wei, Yunjie1,5,6
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| 2019-02-01 | |
| Source Publication | JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING
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| ISSN | 1004-3756 |
| Volume | 28Issue:1Pages:1-36 |
| 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. |
| Keyword | G-7 return volatility connectedness macroeconomic factors generalized VAR |
| DOI | 10.1007/s11518-018-5371-y |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71501176] ; National Center for Mathematics and Interdisciplinary Sciences, CAS |
| WOS Research Area | Operations Research & Management Science |
| WOS Subject | Operations Research & Management Science |
| WOS ID | WOS:000458257400001 |
| Publisher | SPRINGER HEIDELBERG |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/32424 |
| Collection | 系统科学研究所 |
| Affiliation | 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 |
| Recommended Citation 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. |
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