Skip to main content

Volatility relationship between stock performance and real output

Buy Article:

$47.00 plus tax (Refund Policy)

This paper investigates the interaction between stock index returns and the real output growth for five countries. This study focuses on the second moment relationship using various forms of the bivariate generalized autoregressive conditional heteroscedastic models (BGARCH). This study shows that interactivity between stock returns and growth rates are robust at the second order. The results imply that high volatility in the stock market is likely to be followed by increased volatility in the output sector and periods of high volatility in real output is likely to be followed by increased volatility in the stock market.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
No Metrics

Document Type: Research Article

Affiliations: 1: Department of Business, Trinity Christian College, 6601 West College Drive, Palos Heights, Illinois 60463, USA 2: Department of Economics (MC 144), University of Illinois at Chicago, 601 S. Morgan Street, Room 2103, Chicago, Illinois 60607, USA

Publication date: 2006-07-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more