Volatility of stock returns: importance of economic fundamentals
By: Chaudhuri, Kausik.
Contributor(s): Koo, Kyojun.
Material type:
ArticlePublisher: 2001Description: p.3852-856.Subject(s): Financial markets
In:
Economic and Political WeeklySummary: This paper investigates the volatility of stock returns in some Asian emerging markets in terms of the volatility of domestic and external factors. We found that both domestic macroeconomic variables and international variables are found to have explanatory power for stock return volatility. The evidence strongly suggests the presence of a significant contagion effect and integration of capital markets in this region. We also document that the role of government in terms of fiscal and monetary policy in the smooth functioning of the stock market is crucial in this region. - Reproduced
| Item type | Current location | Call number | Vol info | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
Articles
|
Indian Institute of Public Administration | Volume no: 36, Issue no: 40 | Available | AR50648 |
This paper investigates the volatility of stock returns in some Asian emerging markets in terms of the volatility of domestic and external factors. We found that both domestic macroeconomic variables and international variables are found to have explanatory power for stock return volatility. The evidence strongly suggests the presence of a significant contagion effect and integration of capital markets in this region. We also document that the role of government in terms of fiscal and monetary policy in the smooth functioning of the stock market is crucial in this region. - Reproduced
There are no comments for this item.