Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107958
Authors: 
Baroian, Elena
Year of Publication: 
2014
Citation: 
[Journal:] Romanian Journal of Fiscal Policy (RJFP) [ISSN:] 2069-0983 [Volume:] 5 [Year:] 2014 [Issue:] 2 [Pages:] 41-55
Abstract: 
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging European countries. To account for the effects of fundamentals, modified ARCH/GARCH models are employed. The results are discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the sole significant explanatory variable.
Subjects: 
Macroeconomic volatility
stock market volatility
panel estimation
JEL: 
C58
E44
G15
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Article
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