Demirer, RizaGupta, RanganLv, ZhihuiWong, Wing-Keung2020-06-092020-06-092019-01Demirer, R., Gupta, R., Lv, Z. et al. 2019,'Equity return dispersion and stock market volatility : evidence from multivariate linear and nonlinear causality tests', Sustainability, vol. 11, no. 2, a351, pp. 1-15.2071-1050 (online)10.3390/su11020351http://hdl.handle.net/2263/74916We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion possesses incremental information regarding future stock return dynamics beyond that which can be explained by the state of the economy.en© 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).Equity return dispersionStock market volatilityBusiness cycleMultivariate causalityEquity return dispersion and stock market volatility : evidence from multivariate linear and nonlinear causality testsArticle