scholarly journals Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests

2016 ◽  
Vol 66 ◽  
pp. 89-101 ◽  
Author(s):  
Taufiq Choudhry ◽  
Fotios I. Papadimitriou ◽  
Sarosh Shabi
Keyword(s):  
Stock Market ◽  
Business Cycle ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Causality Tests ◽  
Linear And Nonlinear

scholarly journals Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

2019 ◽  
Vol 11 (2) ◽  
pp. 351 ◽  
Author(s):  
Riza Demirer ◽  
Rangan Gupta ◽  
Zhihui Lv ◽  
Wing-Keung Wong
Keyword(s):  
Stock Market ◽  
The State ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Excess Returns ◽  
State Of The Economy ◽  
Causality Tests ◽  
Business Conditions ◽  
High Level ◽  
Return Dynamics

We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion possesses incremental information regarding future stock return dynamics beyond that which can be explained by the state of the economy.

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