On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
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- Emeka Nkoro & Aham Kelvin Uko, 2016. "Exchange Rate and Inflation Volatility and Stock Prices Volatility: Evidence from Nigeria, 1986-2012," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-4.
- Rilwan Sakariyahu & Audrey Paterson & Eleni Chatzivgeri & Rodiat Lawal, 2024. "Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 135-169, January.
- 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.
- Emenike Kalu O. & Odili Okwuchukwu, 2014. "Stock Market Return Volatility and Macroeconomic Variables in Nigeria," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 2(2), pages 75-82.
- Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
- Sakariyahu, Rilwan & Johan, Sofia & Lawal, Rodiat & Paterson, Audrey & Chatzivgeri, Eleni, 2023. "Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
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More about this item
Keywords
Conditional Volatility; Exchange rates; Inflation rates; Quadratic-GARCH; Stock prices; volatility clustering.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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