Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia

@inproceedings{Zakaria2012EmpiricalEO,
  title={Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia},
  author={Zahida binti Zakaria and Siti Aisah Shamsuddin},
  year={2012}
}
The relationship between the volatility of stock market returns and macroeconomic volatilities has been a focus of many empirical studies. Many studies were conducted to examine this relationship based on the data from developed markets, and only few were carried out in the case of emerging market. Several methods have been used to measure volatility empirically. Recently, many studies have used conditional variance and GARCH models to estimate volatility. This paper examines the relationship… CONTINUE READING

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