Yıl 2021, Cilt 3 , Sayı 2, Sayfalar 66 - 86 2021-04-30

Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

Mostafa ALİ [1]


This study investigates the impact of macroeconomic variability on stock market volatility in Bangladesh covering the data ranging from January 2005 to December 2018 by using three steps of analysis. Firstly, the univariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is employed to estimate the time-varying conditional variance series for stock return and macroeconomic fundamentals. In the second phase, the volatility effect of macroeconomic forces on stock return is estimated by using the most recent standardized squared residuals of macroeconomic fundamentals as exogenous variables in the conditional variance equation of stock returns. Finally, Vector Auto Regression (VAR) model is used to examine the possible interaction between macroeconomic forces and stock price. The findings of the study evidence that increased volatility in Consumer Price Index, Treasury Bill Rates, and inflow in Foreign Remittance increases the stock return volatility whilst fluctuations in IP leads to a decrease in stock return volatility. Therefore, the implication of these findings documents that both the stock market and macroeconomic forces becoming interdependent in Bangladesh.
Macroeconomic variability, Stock market volatility, EGARCH model, VAR model, Bangladesh
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Birincil Dil en
Konular İktisat
Bölüm Research Articles
Yazarlar

Orcid: 0000-0003-2496-2960
Yazar: Mostafa ALİ (Sorumlu Yazar)
Kurum: University of Chittagong
Ülke: Bangladesh


Tarihler

Yayımlanma Tarihi : 30 Nisan 2021

Bibtex @araştırma makalesi { bilturk837413, journal = {BİLTÜRK Journal of Economics and Related Studies}, issn = {}, eissn = {2667-5927}, address = {http://dergipark.gov.tr}, publisher = {Fatih DEYNELİ}, year = {2021}, volume = {3}, pages = {66 - 86}, doi = {10.47103/bilturk.837413}, title = {Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh}, key = {cite}, author = {Ali, Mostafa} }
APA Ali, M . (2021). Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh . BİLTÜRK Journal of Economics and Related Studies , 3 (2) , 66-86 . DOI: 10.47103/bilturk.837413
MLA Ali, M . "Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh" . BİLTÜRK Journal of Economics and Related Studies 3 (2021 ): 66-86 <https://dergipark.org.tr/tr/pub/bilturk/issue/62202/837413>
Chicago Ali, M . "Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh". BİLTÜRK Journal of Economics and Related Studies 3 (2021 ): 66-86
RIS TY - JOUR T1 - Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh AU - Mostafa Ali Y1 - 2021 PY - 2021 N1 - doi: 10.47103/bilturk.837413 DO - 10.47103/bilturk.837413 T2 - BİLTÜRK Journal of Economics and Related Studies JF - Journal JO - JOR SP - 66 EP - 86 VL - 3 IS - 2 SN - -2667-5927 M3 - doi: 10.47103/bilturk.837413 UR - https://doi.org/10.47103/bilturk.837413 Y2 - 2021 ER -
EndNote %0 BİLTÜRK Ekonomi ve İlişkili Çalışmalar Dergisi Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh %A Mostafa Ali %T Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh %D 2021 %J BİLTÜRK Journal of Economics and Related Studies %P -2667-5927 %V 3 %N 2 %R doi: 10.47103/bilturk.837413 %U 10.47103/bilturk.837413
ISNAD Ali, Mostafa . "Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh". BİLTÜRK Journal of Economics and Related Studies 3 / 2 (Nisan 2021): 66-86 . https://doi.org/10.47103/bilturk.837413
AMA Ali M . Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh. BILTURK. 2021; 3(2): 66-86.
Vancouver Ali M . Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh. BİLTÜRK Journal of Economics and Related Studies. 2021; 3(2): 66-86.
IEEE M. Ali , "Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh", BİLTÜRK Journal of Economics and Related Studies, c. 3, sayı. 2, ss. 66-86, Nis. 2021, doi:10.47103/bilturk.837413