JEL Classification System
G01, G10, E32
Abstract
This study explores the impact of the financial crisis on the relationship between stock market volatility and the business cycle. In addition, the possible spillover effects within a cross-country framework are also examined. The study is based on secondary macroeconomic data of monthly frequency for the time period of 1991:01 to 2012:12. Bivariate and multivariate causality techniques are used to arrive at results. Results of the study provide fresh evidence for the existence of strong bidirectional causality between stock market volatility and the business cycle for all sample countries. In fact, this bidirectional causality was found to be strong when accounted for financial crisis. Additionally, significant spillover effects between stock market volatility and the business cycle are also found.
Recommended Citation
Altaf, Nufazil
(2021)
"Stock Market Volatility and Business Cycle: Exploring Cross-Country Spillovers,"
DLSU Business & Economics Review: Vol. 30:
No.
2, Article 3.
DOI: https://doi.org/10.59588/2243-786X.1107
Available at:
https://animorepository.dlsu.edu.ph/ber/vol30/iss2/3
Included in
Accounting Commons, Economics Commons, Finance and Financial Management Commons, Marketing Commons
