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Macroeconomic Determinants of European Stock Market Volatility

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  • Vihang Errunza
  • Ked Hogan

Abstract

In this paper we investigate whether macroeconomic variability can explain time variation in European stock market volatility. We 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. Our findings have important implications for capital and portfolio allocations.

Suggested Citation

  • Vihang Errunza & Ked Hogan, 1998. "Macroeconomic Determinants of European Stock Market Volatility," European Financial Management, European Financial Management Association, vol. 4(3), pages 361-377, November.
    • Handle: RePEc:bla:eufman:v:4:y:1998:i:3:p:361-377
    DOI: 10.1111/1468-036X.00071
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