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Socio-economy and stock market volatility

Author

Listed:
  • Md Sharif Hossain,

    (Accounting & Information Systems, University of Dhaka, Dhaka)

  • Md.Thasinul Abedin

    (Accounting & Information Systems, University of Dhaka, Dhaka)

Abstract

We evaluate how stock market return volatility behaves with respect to socioeconomic factors namely- interest rate volatility, foreign exchange rate volatility, S &P 500 index volatility, broad money supply volatility, per capita GDP, domestic investment, industry value addition, tertiary level of education, urbanization, and strike and blockades using time series data from 1976-2015. We find that interest rate volatility has significant positive impact on stock market return volatility where broad money supply volatility, foreign exchange rate volatility, tertiary level of education, and domestic investment have significant negative impact on stock market volatility based on stepwise regression. Therefore, increase in tertiary level of education and domestic investment makes the stock market more stable. From the estimated result of VAR model, results show no short run causality among these variables. Classification JEL: C01; C02; C22; D53; E22

Suggested Citation

  • Md Sharif Hossain, & Md.Thasinul Abedin, 2017. "Socio-economy and stock market volatility," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 5(4), pages 1-11, August.
    • Handle: RePEc:lrc:lareco:v:5:y:2017:i:4:p:1-11
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Domestic Investment; Foreign Exchange Rate Volatility; Strike and Blockades; S & P 500 Index Volatility; VAR Model.;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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