Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach
This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE) and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house
2017-06-01
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| Series: | Scientific Annals of Economics and Business |
| Subjects: | |
| Online Access: | http://www.degruyter.com/view/j/saeb.2017.64.issue-2/saeb-2017-0015/saeb-2017-0015.xml?format=INT |