Advanced search
Publication Cover
Applied Economics Letters Volume 30, 2023 - Issue 1
Submit an article Journal homepage
417
Views
1
CrossRef citations to date
0
Altmetric
Research Article

A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models

Riza Demirera Department of Economics & Finance, Southern Illinois University Edwardsville, Alumni Hall, USAORCID Iconhttps://orcid.org/0000-0002-1840-8085View further author information
ORCID Icon,
Rangan Guptab Department of Economics, University of Pretoria, Private Bag, South AfricaORCID Iconhttps://orcid.org/0000-0001-5002-3428View further author information
ORCID Icon,
He Lic School of International Economics and Politics, Liaoning University, Shenyang, ChinaView further author information
&
Yu Youc School of International Economics and Politics, Liaoning University, Shenyang, China;d LI Anmin Advanced Institute of Finance and Economics, Liaoning University, Shenyang, ChinaCorrespondence[email protected]
View further author information
Pages 37-42 | Published online: 30 Aug 2021

References

  • Acharya, V. V., S. Bhadury, and J. Surti. 2020. “Financial Vulnerability and Risks to Growth in Emerging Markets.” NBER Working Paper No. 27411.
  • Andersen, T. G., and T. Bollerslev. 1998. “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.” International Economic Review 39 (4): 885–905. doi:10.2307/2527343.
  • Choudhry, T., F. I. Papadimitriou, and S. Shabi. 2016. “Stock Market Volatility and Business Cycle: Evidence from Linear and Nonlinear Causality Tests.” Journal of Banking & Finance 66: 89–101. doi:10.1016/j.jbankfin.2016.02.005.
  • Diebold, F. X., and R. S. Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Business and Economic Statistics 13: 253–263.
  • Engle, R. F., E. Ghysels, and B. Sohn. 2013. “Stock Market Volatility and Macroeconomic Fundamentals.” Review of Economics and Statistics 95: 776–797. doi:10.1162/REST_a_00300.
  • Ghysels, E., and R. Valkanov. 2012. “Forecasting Volatility with MIDAS.” In Handbook of Volatility Models and Their Applications, edited by L. Bauwens, C. Hafner, and S. Laurent, 383–401. Hoboken, New Jersey, United States: John Wiley & Sons.
  • Hamilton, J. D., and G. Lin. 1996. “Stock Market Volatility and the Business Cycle.” Journal of Applied Econometrics 11 (5): 573–593. doi:10.1002/(SICI)1099-1255(199609)11:5<573::AID-JAE413>3.0.CO;2-T.
  • Koop, G., and D. Korobilis. 2014. “A New Index of Financial Conditions.” European Economic Review 71: 101–116. doi:10.1016/j.euroecorev.2014.07.002.
  • Opschoor, A., D. van Dijk, and M. van der Wel. 2014. “Predicting Volatility and Correlations with Financial Conditions Indexes.” Journal of Empirical Finance 29: 435–447. doi:10.1016/j.jempfin.2014.10.003.
  • Qureshi, F., A. M. Kutan, A. Ghafoor, H. H. Khan, and Z. Qureshi. 2019a. “Dynamics of Mutual Funds and Stock Markets in Asian Developing Economies.” Journal of Asian Economics 65: 101135. doi:10.1016/j.asieco.2019.101135.
  • Qureshi, F., A. M. Kutan, I. Ismail, and C. S. Gee. 2017. “Mutual Funds and Stock Market Volatility: An Empirical Analysis of Asian Emerging Markets.” Emerging Markets Review 31: 176–192. doi:10.1016/j.ememar.2017.05.005.
  • Schwert, G. W. 2011. “Stock Volatility during the Recent Financial Crisis.” European Financial Management 17: 789–805. doi:10.1111/j.1468-036X.2011.00620.x.
  • You, Y., and X. Liu. 2020. “Forecasting Short-run Exchange Rate Volatility with Monetary Fundamentals: A GARCH-MIDAS Approach.” Journal of Banking and Finance 116: 105849. doi:10.1016/j.jbankfin.2020.105849.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.