International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online) DOI: 10.30845/ijbss

The Analysis of Bidirectional Causality between Stock Market Volatility and Macroeconomic Volatility
Zeynep Iltuzer, Oktay Tas

What underlies the volatility of financial securities has been researched for decades in parallel with the developments in time series analysis. The multivariate heteroscedastic variance models provide a convenient way to examine inherent time-varying dynamics of the volatility of stock indices. In this paper, we attempt to analyze the bidirectional causal relations between macroeconomic volatility and stock market volatility for some emerging markets with the multivariate GARCH model. The analysis of causality between stock market volatility and macroeconomic volatility provide some evidence that investors closely follow some macroeconomic variables as indicators of the riskiness of the country.

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