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Macroeconomic Volatility and Stock Market Volatility, Worldwide
Francis X. Diebold (National Bureau of Economic Research, University of Pennsylvania), Kamil Yılmaz (National Bureau of Economic Research, Koç University)
Abstract: Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility.We progress by analyzing a broad international cross section of stock markets covering approximately forty countries.We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.