The role of stock market volatility in predicting macroeconomic quantities.

• Main Authors: Leong, Florence Mei Hua., Wirawan, Sulistiyana., Kevin, Yohanes.
• Other Authors: Nanyang Business School
• Format: Final Year Project
• Language: English
• Published: 2013
• Subjects: DRNTU::Business::Finance
• Online Access: http://hdl.handle.net/10356/51380
• Institution: Nanyang Technological University

This paper explores predictability of stock market volatility over macroeconomic quantities. We measure stock market volatility with the variance of stock prices while the macroeconomic quantities are represented by the growth rates of macroeconomic variables. This paper performs correlation analyse...