Stock Market Volatility and the Business Cycle

By Burkhard Raunig, Johann Scharler. 2010

283 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/25b7b61df620f2ad5e8b73c412c2f9222f436616

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Citations in the corpus

On measuring synchronization of bulls and bears: The case of East Asia (2008, methodology): “Harding and Pagan (2006, p. 70). The covariance matrix V̂ is a heteroskedastic and autocorrelation consistent (HAC) estimator of the variance-covariance matrix of √ Tg(θ0, [S] T t=1), see e.g. Newey and West (1994). The statistic is defined as a quadratic form in the penalty vector g(θ0, [S] T t=1) ”
Learning from History: Volatility and Financial Crises (2016, background): “Concerns about the relationship between the financial market and economic risk have a long history in the economic literature, notably Keynes (1936), Hayek (1960), and Minsky (1992) who argue that economic agents change their risk-taking behavior when financial market risk changes.”
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016, background): “In line with previous studies which suggest that stock market volatility is higher during recessions than during expansions (e.g., Schwert, 1989; Hamilton and Lin, 1996; Brandt and Kang, 2004; Schwert, 2011), we observe a sharp increase in volatility during the recent financial crisis (shaded area) ”
The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes (2008, unknown): “Consistent with this approach, previous research has pointed out the relation between volatilities and the business cycle; for example, Schwert (1989) and Hamilton and Lin (1996) find economic recessions as the most important factor influencing the US stock return volatility.”
A Rational Theory of Mutual Funds' Attention Allocation (2016, unknown): “Second, Schwert (1989, 2011), Hamilton and Lin (1996), Campbell, Lettau, Malkiel, and Xu (2001), and Engle and Rangel (2008) show that aggregate stock market return volatility is much higher during periods of low economic activity.”
The Determinants of Stock and Bond Return Comovements (2010, unknown): “Flannery and Protopapadakis (2002) show links between stock market volatility and inflation and money growth; Hamilton and Lin (1996) establish a business cycle link for stock market volatility; and Diebold and Yilmaz (2009) and Engle and Rangel (2008) find a link between volatile fundamentals and v”
Regime Changes and Financial Markets (2012, unknown): “Hamilton and Susmel (1994) and Hamilton and Lin (1996) developed regime-switching versions of ARCH dynamics applied to equity returns that allowed volatilities to rapidly change to new regimes.”
Testing for Granger Causality in Large Mixed-Frequency VARs (2016, unknown): “…degree to which macroeconomic variables can help to predict volatility movements has been investigated widely in the literature (see Schwert, 1989b, Hamilton and Gang, 1996, or Engle and Rangel, 2008, among others), the reverse, i.e., whether the future path of the economy can be forecasted using…”
Revisiting the empirical linkages between stock returns and trading volume (2012, background): “See, for example, Hamilton and Lin (1996), and Perez-Quiros and Timmermann (2000).”