Finance, Markets and Valuation
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Title: Evolution of the volatility in stock exchange indices: The case of S&P 500, Nikkei, DAX30 and Ibex35
Authors: Javier Oliver
DOI: Not found
Abstract:
This paper analyses the relationship between macroeconomic variables and stock Exchange volatility. Previous studies show that this link exists in the short term but not in the long term. Furthermore, volatility asymmetries confirm the increase in volatility when economic recessions or international financial shocks occur. The effect of such shocks on the increase of the volatility in stock exchange indices depends on each index. So, more volatility must be expected for countries with worse macroeconomic situation.
Keywords: Not found
