추계학술연구발표회
Do Financial Activities Affect Stock Volatility?(장대홍)
작성자 관리자
등록일2009.06.09
조회수5274
This paper re-examines the relation of stock volatility with those of macro-finance variables using data from 1950 to 2008. While confirming the findings in previous studies, in particular, the evidence of the greater stock return variability in economic downturn, it shows that much of the volatility is attributable to financial market activities since mid-1980s. It is argued that predictors of financial market activities can help to better explain stock volatility.
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