Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Ltd
European financial management
4 (1998), S. 0
ISSN:
1468-036X
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
In this paper we investigate whether macroeconomic variability can explain time variation in European stock market volatility. We find that unlike the documented case of the USA, in many cases, the time variation in stock market volatility is found to be significantly affected by the past variability of either monetary or real macroeconomic factors. Our findings have important implications for capital and portfolio allocations.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1468-036X.00071
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