Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach

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...

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Bibliographic Details
Main Authors: Hasan Md. Abu, Zaman Anita
Format: Article
Language:English
Published: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2017-06-01
Series:Scientific Annals of Economics and Business
Subjects:
Stock Market
Macroeconomic Variables
Volatility
GARCH
Online Access:http://www.degruyter.com/view/j/saeb.2017.64.issue-2/saeb-2017-0015/saeb-2017-0015.xml?format=INT

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