Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/216967 
Year of Publication: 
2020
Series/Report no.: 
Hannover Economic Papers (HEP) No. 667
Publisher: 
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
Abstract: 
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates and unemployment. Moreover, we find that developed economies possess longer memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic conditions, which is prevalent across a large range of countries.
Subjects: 
International
Long Memory
Volatility
JEL: 
G15
C22
F30
F40
Document Type: 
Working Paper

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