Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests
This paper investigates the relationship between stock market volatility and the business cycle in four major economies, namely the US, Canada, Japan and the UK. We employ both linear and nonlinear bivariate causality tests and we further conduct a multivariate analysis to explore possible spillover effects across countries. Our results suggest that there is a bidirectional causal relationship between stock market volatility and the business cycle within each country and additionally reveal that the recent financial crisis plays an important role in this context. Finally, we identify a significant impact of the US on the remaining markets.
89-101
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Papadimitriou, Fotios I.
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Shabi, Sarosh
7bc53ee7-3452-4852-ac43-94e436314031
1 May 2016
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Papadimitriou, Fotios I.
e90e7f7a-0d8d-4fbb-9b08-729d2dd2e217
Shabi, Sarosh
7bc53ee7-3452-4852-ac43-94e436314031
Choudhry, Taufiq, Papadimitriou, Fotios I. and Shabi, Sarosh
(2016)
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests.
Journal of Banking & Finance, 66, .
(doi:10.1016/j.jbankfin.2016.02.005).
Abstract
This paper investigates the relationship between stock market volatility and the business cycle in four major economies, namely the US, Canada, Japan and the UK. We employ both linear and nonlinear bivariate causality tests and we further conduct a multivariate analysis to explore possible spillover effects across countries. Our results suggest that there is a bidirectional causal relationship between stock market volatility and the business cycle within each country and additionally reveal that the recent financial crisis plays an important role in this context. Finally, we identify a significant impact of the US on the remaining markets.
Text
Choudhry, Papadimitriou, Shabi 2014, JBF.pdf
- Accepted Manuscript
More information
Accepted/In Press date: 18 February 2016
e-pub ahead of print date: 22 February 2016
Published date: 1 May 2016
Organisations:
Southampton Business School
Identifiers
Local EPrints ID: 388069
URI: http://eprints.soton.ac.uk/id/eprint/388069
ISSN: 0378-4266
PURE UUID: ac94bc06-0fd9-44eb-a3b1-97c83a562386
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Date deposited: 19 Feb 2016 15:26
Last modified: 15 Mar 2024 05:24
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Contributors
Author:
Fotios I. Papadimitriou
Author:
Sarosh Shabi
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