Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324028 
Year of Publication: 
2020
Citation: 
[Journal:] PSL Quarterly Review [ISSN:] 2037-3643 [Volume:] 73 [Issue:] 293 [Year:] 2020 [Pages:] 137-160
Publisher: 
Associazione Economia civile, Rome
Abstract: 
This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on the one hand, and speculation and unemployment on the other. The analysis is carried out for the US over the period 1982-2018. Stock price volatility is calculated in terms of "conditional" volatility and in terms of the so-called "Shiller ratio", while speculative trading is expressed as "scalping" activities. We find that there is a causal positive relation from speculation to stock price volatility. Furthermore, we show that there is an inverse causal relationship ranging from stock prices to unemployment, while there is no causal relationship between dividends and unemployment. These results corroborate the empirical analyses by Shiller and other authors which deny the traditional Present Value Model (PVM), provide new elements on the possible determinants of stock price volatility, and offer new interpretations of the potential links between the stock market and macroeconomic dynamics.
Subjects: 
Speculative trading
stock price volatility
stock market
Shiller ratio
Present Value Model
JEL: 
C10
E39
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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