Systematic risk factors and stock return volatility

Systematic risk factors and stock return volatility

This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this st...

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Bibliographic Details
Main Authors: Syed Kamran Ali Haider, Shujahat Haider Hashmi, Ishtiaq Ahmed
Format: Article
Language:English
Published: University of Debrecen 2017-06-01
Series:Apstract: Applied Studies in Agribusiness and Commerce
Subjects:
Macroeconomic factors
stock return volatility
GARCH
VAR
Online Access:https://ojs.lib.unideb.hu/apstract/article/view/6944

Internet

https://ojs.lib.unideb.hu/apstract/article/view/6944

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