Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of...

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Bibliographic Details
Main Authors: Riza Demirer, Rangan Gupta, Zhihui Lv, Wing-Keung Wong
Format: Article
Language:English
Published: MDPI AG 2019-01-01
Series:Sustainability
Subjects:
equity return dispersion
stock market volatility
business cycle
multivariate causality
JEL Codes
C32
E32
G10
Online Access:http://www.mdpi.com/2071-1050/11/2/351

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