Cyclicality of stock market volatility. Issue 8 (4th May 2019)
- Record Type:
- Journal Article
- Title:
- Cyclicality of stock market volatility. Issue 8 (4th May 2019)
- Main Title:
- Cyclicality of stock market volatility
- Authors:
- You, Yu
Liu, Xiaochun - Abstract:
- ABSTRACT: By utilizing the significance and stochastic dominance tests, this paper formally tests the relationship between stock market volatility and the business cycle. Results show that, for most matured markets, stock market volatility is countercyclical, while for emerging markets, the volatility can be procyclical.
- Is Part Of:
- Applied economics letters. Volume 26:Issue 8(2019)
- Journal:
- Applied economics letters
- Issue:
- Volume 26:Issue 8(2019)
- Issue Display:
- Volume 26, Issue 8 (2019)
- Year:
- 2019
- Volume:
- 26
- Issue:
- 8
- Issue Sort Value:
- 2019-0026-0008-0000
- Page Start:
- 645
- Page End:
- 649
- Publication Date:
- 2019-05-04
- Subjects:
- Stock market volatility -- business cycle -- cyclicality -- stochastic dominance test
G10 -- G15 -- E32
Economics -- Periodicals
Economics, Mathematical -- Periodicals
330 - Journal URLs:
- http://www.tandfonline.com/toc/rael20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/13504851.2018.1489105 ↗
- Languages:
- English
- ISSNs:
- 1350-4851
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 1571.972000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 9445.xml