https://orcid.org/0000-0002-1840-8085
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ABSTRACT
This paper establishes a predictive relationship between financial vulnerability and volatility in emerging stock markets. Focusing on China and India and utilizing GARCH-MIDAS models, we show that incorporating financial vulnerability can substantially improve the forecasting power of standard macroeconomic fundamentals (output growth, inflation and monetary policy interest rate) for stock market volatility. The findings have significant implications for investors to improve the accuracy of volatility forecasts.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Correction Statement
This article has been republished with minor changes. These changes do not impact the academic content of the article.
Additional information
Funding
This work was supported by the Humanities and Social Science Research Foundation of the Ministry of Education of China [18YJC790206]; LiaoNing Revitalization Talents Program [XLYC1907192].