Investigating the Relationship Between Central Bank Transparency and Stock Market Volatility in a Nonparametric Framework

2017 ◽  
Vol 50 (1) ◽  
pp. 63-83
Author(s):  
Stephanos Papadamou, ◽  
Moïse Sidiropoulos, ◽  
Nickolaos Tzeremes
Keyword(s):  
Stock Market ◽  
Central Bank ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Central Bank Transparency ◽  
The Relationship

scholarly journals Uncertainty Shocks as Second-Moment News Shocks

2019 ◽  
Vol 87 (1) ◽  
pp. 40-76 ◽  
Author(s):  
David Berger ◽  
Ian Dew-Becker ◽  
Stefano Giglio
Keyword(s):  
Stock Market ◽  
Implied Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
News Shocks ◽  
Second Moment ◽  
Uncertainty Shocks ◽  
Aggregate Uncertainty ◽  
The Future ◽  
The Relationship

AbstractWe provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to forward-looking uncertainty have no significant effect on the economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the realization of volatility, rather than uncertainty about the future, that has been associated with declines.

scholarly journals COUNTRY RATING AND STOCK MARKET VOLATILITY: AN EMPIRICAL ESTIMATION FOR KARACHI STOCK EXCHANGE

2014 ◽  
Vol 02 (01) ◽  
pp. 07-14
Author(s):  
Muhammad Bilal Saeed ◽  
◽  
Arshad Hassan ◽  
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Empirical Estimation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daily Data ◽  
Asymmetric Garch ◽  
The Relationship

This study is aimed to explore the relationship between country rating and volatility of Karachi Stock Exchange for the period 1999 to 2012. This study employs daily data of country ratings and stock market returns to investigate influence of rating on volatility of market. Univariate Asymmetric GARCH model is used to explore the relationship and results reveal that country rating has a significant role in explaining volatility in Karachi Stock Exchange.

scholarly journals Does central bank independence affect stock market volatility?

2017 ◽  
Vol 42 ◽  
pp. 855-864 ◽  
Author(s):  
Stephanos Papadamou ◽  
Moïse Sidiropoulos ◽  
Eleftherios Spyromitros
Keyword(s):  
Stock Market ◽  
Central Bank ◽  
Central Bank Independence ◽  
Market Volatility ◽  
Stock Market Volatility

The Relationship of Monetary and Fiscal Policy Credibility with the Stock Market Volatility in a Developing Country

2021 ◽  
pp. 097215092098251
Author(s):  
Vinícius Medeiros Magnani ◽  
Antonio Daniel Ricardo Caluz ◽  
Rafael Confetti Gatsios ◽  
Fabiano Guasti Lima
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
Market Index ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Relationship

The present study aims to analyse the relationship between fiscal and monetary credibility and the volatility of the Brazilian stock market index, Ibovespa. The results demonstrate that the greater the credibility of the target imposed by the Brazilian Central Bank, the more predictable and stable are the macroeconomic variables and the greater the confidence of economic agents in the Brazilian stock market. We can conclude that the greater the fiscal and monetary credibility, the better is the performance of the stock market.

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