A note on financial vulnerability and volatility in emerging stock markets : evidence from GARCH-MIDAS models
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| dc.contributor.author | Demirer, Riza
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| dc.contributor.author | Gupta, Rangan
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| dc.contributor.author | Li, He
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| dc.contributor.author | You, Yu
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| dc.date.accessioned | 2022-08-05T13:09:03Z | |
| dc.date.available | 2022-08-05T13:09:03Z | |
| dc.date.issued | 2023 | |
| dc.description.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. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2022 | en_US |
| dc.description.sponsorship | The Humanities and Social Science Research Foundation of the Ministry of Education of China and LiaoNing Revitalization Talents Program. | en_US |
| dc.description.uri | https://www.tandfonline.com/loi/rael20 | en_US |
| dc.identifier.citation | Riza Demirer, Rangan Gupta, He Li & Yu You (2023) A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models, Applied Economics Letters, 30:1, 37-42, DOI: 10.1080/13504851.2021.1971613. | en_US |
| dc.identifier.issn | 1350-4851 (print) | |
| dc.identifier.issn | 1466-4291 (online) | |
| dc.identifier.other | 10.1080/13504851.2021.1971613 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/86732 | |
| dc.language.iso | en | en_US |
| dc.publisher | Routledge | en_US |
| dc.rights | © 2021 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 30, no. 1, pp. 37-42, 2023. doi : 10.1080/13504851.2021.1971613. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20. | en_US |
| dc.subject | Stock market volatility | en_US |
| dc.subject | Financial vulnerability | en_US |
| dc.subject | GARCH-MIDAS | en_US |
| dc.subject | Emerging markets | en_US |
| dc.title | A note on financial vulnerability and volatility in emerging stock markets : evidence from GARCH-MIDAS models | en_US |
| dc.type | Preprint Article | en_US |
