Stock Market Volatility - Do macroeconomic variables affect stock market volatility?
(2012) NEKM01 20112Department of Economics
- Abstract
- The purpose of this thesis is to analyze whether macroeconomic variables affect the stock market volatility defined as the volatility of S&P 500 index returns. Except for seasonal dummies, seven variables are used to explain the stock market volatility: default spread, volatility of inflation, volatility of Industrial production, implied volatility, slope of the yield curve, volatility of 3-months treasury bills and S&P500 returns. The data covers the time period 1957M01-2011M08 and 1990M02-2011M08 with monthly observations. Empirical results are obtained by applying vector autoregressive models (VAR), granger causality and other econometrics methods. Macroeconomic variables are found to affect stock market volatility. Business cycle... (More)
- The purpose of this thesis is to analyze whether macroeconomic variables affect the stock market volatility defined as the volatility of S&P 500 index returns. Except for seasonal dummies, seven variables are used to explain the stock market volatility: default spread, volatility of inflation, volatility of Industrial production, implied volatility, slope of the yield curve, volatility of 3-months treasury bills and S&P500 returns. The data covers the time period 1957M01-2011M08 and 1990M02-2011M08 with monthly observations. Empirical results are obtained by applying vector autoregressive models (VAR), granger causality and other econometrics methods. Macroeconomic variables are found to affect stock market volatility. Business cycle variables, describing economic activity and implied volatility influence stock market volatility. The results also prove the existence of seasonal patterns and asymmetric volatility. There is no evidence of an interaction between macroeconomic volatility and stock market volatility. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2334322
- author
- Falkberg, Ana-Maria LU
- supervisor
- organization
- course
- NEKM01 20112
- year
- 2012
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Volatility, vector autoregressive model, implied volatility, macroeconomic variables
- language
- English
- id
- 2334322
- date added to LUP
- 2012-02-13 10:55:10
- date last changed
- 2012-02-13 10:55:10
@misc{2334322, abstract = {{The purpose of this thesis is to analyze whether macroeconomic variables affect the stock market volatility defined as the volatility of S&P 500 index returns. Except for seasonal dummies, seven variables are used to explain the stock market volatility: default spread, volatility of inflation, volatility of Industrial production, implied volatility, slope of the yield curve, volatility of 3-months treasury bills and S&P500 returns. The data covers the time period 1957M01-2011M08 and 1990M02-2011M08 with monthly observations. Empirical results are obtained by applying vector autoregressive models (VAR), granger causality and other econometrics methods. Macroeconomic variables are found to affect stock market volatility. Business cycle variables, describing economic activity and implied volatility influence stock market volatility. The results also prove the existence of seasonal patterns and asymmetric volatility. There is no evidence of an interaction between macroeconomic volatility and stock market volatility.}}, author = {{Falkberg, Ana-Maria}}, language = {{eng}}, note = {{Student Paper}}, title = {{Stock Market Volatility - Do macroeconomic variables affect stock market volatility?}}, year = {{2012}}, }