Macroeconomic sensitivity and firm level volatility: the case of New York Stock Exchange
Purpose – This paper investigates whether the macroeconomic factors affect the firm stock returns volatility differently depending on their location in different sectors. For this purpose, daily financial time-series data for 683 firms located in nine US sectors for the period of 2000 to 2017 are em...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2021-08-01
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| Series: | Business, Management and Economics Engineering |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/BME/article/view/14310 |