search query: @author Hogan, K. / total: 3
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| Author: | Errunza, V. Hogan, K. |
| Title: | Macroeconomic determinants of European stock market volatility |
| Journal: | European Financial Management
1998 : NOV, VOL. 4:3, p. 361-378 |
| Index terms: | FINANCIAL MANAGEMENT STOCK MARKETS VOLATILITY |
| Language: | eng |
| Abstract: | In this paper the authors investigate whether macroeconomic variability can explain time variation in European stock market volatility. They find that unlike the documented case of the USA, in many cases, the time variation in stock market volatility is found to be significantly affected by the past variability of either monetary or real macroeconomic factors. The findings have important implications for capital and portfolio allocations. |
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