Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison
Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Si...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UUM Press
2010-02-01
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| Series: | International Journal of Management Studies |
| Subjects: | |
| Online Access: | https://e-journal.uum.edu.my/index.php/ijms/article/view/10188 |