文章基本信息

标题：CONNECTION OF EUROPEAN ECONOMIC GROWTH WITH THE DYNAMICS OF VOLATILITY OF STOCK MARKET RETURNS
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作者：Adrian Cantemir CĂLIN
期刊名称：Financial Studies
印刷版ISSN：2066-6071
出版年度：2015
卷号：19
期号：1
出版社：“Victor Slăvescu‿Centre for Financial and Monetary Research
摘要：The connections of macroeconomic growth and the financial markets are vastly studied in Europe mostly from the banking perspective. The impact of the capital markets on the economic development and the increased integration of all financial markets constitute an important element in the study of macroeconomic growth. The objective of this paper is to provide an analysis of the possible connections of the volatilities of stock market indexes computed with a GARCH model and the macroeconomic growth for a series of ten European countries. The problem of different frequencies – daily for the stock indexes and quarterly for the GDP growth – is solved by the use of the MIDAS methodology. We found connections of the dynamics of volatilities and main global events as well as the dependence of growth on these volatilities for some periods and some European countries.
关键词：volatility; stock markets; MIDAS methodology