returnandvolatilityconnectednessbetweenstockmarketsandmacroeconomicfactorsintheg7countries

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	returnandvolatilityconnectednessbetweenstockmarketsandmacroeconomicfactorsintheg7countries
	Abbas Ghulam 1; Hammoudeh Shawkat 2; Shahzad Syed Jawad Hussain 3; Wang Shouyang4 ; Wei Yunjie4
	2019
发表期刊	journalofsystemsscienceandsystemsengineering
ISSN	1004-3756
卷号	28 期号:1 页码:1
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.
语种	英语
资助项目	[National Natural Science Foundation of China] ; [National Center for Mathematics and Interdisciplinary Sciences, CAS]
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/44294
专题	系统科学研究所
作者单位	1.中国科学院 2.Lebow College of Business,Drexel University,Philadelphia,United States Energy and Sustainable Development ,Montpellier Business School 3.Energy and Sustainable Development ,Montpellier Business School 4.中国科学院数学与系统科学研究院
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.