Market Volatility and Macroeconomic Factors
Gao, Kang (2012) Market Volatility and Macroeconomic Factors. [Dissertation (University of Nottingham only)] (Unpublished)
This study investigates the relationship between macroeconomic factors and the stock market volatility. Following macroeconomic variables are used: industrial production, inflation rate, interest rate and exchange rate. Shanghai Exchange Composite Index, Standard & Poor’s 500, FTSE 100 and Deutscher Aktien Index are chosen to represent the China, United States, United Kingdom and Germany market. Monthly time series data of mentioned variables are the time period is from November 2001 to April 2012.
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