Interest Rate Uncertainty and Stock Market Volatility

• Main Author: XU, Jincai
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: stock market volatility; interest rate; asset price; dividend yield; leverage ratio; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/25; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1024&context=etd_coll
• Institution: Singapore Management University

The reason for volatility changing over time is still open. As stated in the extant papers uncertainty of Macroeconomic variable plays more important role in explaining the time varying of volatility than the volatility of Macroeconomic variable itself. In this paper we illustrate this with explorin...