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

doi:10.1007/s11518-018-5371-y

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	Return and Volatility Connectedness between Stock Markets and Macroeconomic Factors in the G-7 Countries
	Abbas, Ghulam 1,2; Hammoudeh, Shawkat 3,4; Shahzad, Syed Jawad Hussain 4; Wang, Shouyang1,5 ; Wei, Yunjie1,5,6
	2019-02-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING
ISSN	1004-3756
卷号	28 期号:1 页码:1-36
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.
关键词	G-7 return volatility connectedness macroeconomic factors generalized VAR
DOI	10.1007/s11518-018-5371-y
语种	英语
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
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000458257400001
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/32424
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.