CSpace  > 系统科学研究所
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
2019-02-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING
ISSN1004-3756
Volume28Issue:1Pages:1-36
AbstractWe 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.
KeywordG-7 return volatility connectedness macroeconomic factors generalized VAR
DOI10.1007/s11518-018-5371-y
Language英语
Funding ProjectNational Natural Science Foundation of China[71501176] ; National Center for Mathematics and Interdisciplinary Sciences, CAS
WOS Research AreaOperations Research & Management Science
WOS SubjectOperations Research & Management Science
WOS IDWOS:000458257400001
PublisherSPRINGER HEIDELBERG
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/32424
Collection系统科学研究所
Affiliation1.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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Abbas, Ghulam]'s Articles
[Hammoudeh, Shawkat]'s Articles
[Shahzad, Syed Jawad Hussain]'s Articles
Baidu academic
Similar articles in Baidu academic
[Abbas, Ghulam]'s Articles
[Hammoudeh, Shawkat]'s Articles
[Shahzad, Syed Jawad Hussain]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Abbas, Ghulam]'s Articles
[Hammoudeh, Shawkat]'s Articles
[Shahzad, Syed Jawad Hussain]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.