Impact of Macroeconomic Variability on the Stock Market Volatility of Bangladesh

Mostafai Ali
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Abstract

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.
宏观经济变异性对孟加拉国股市波动的影响
本研究采用三步分析法,调查了宏观经济变化对孟加拉国股市波动的影响,涵盖了2005年1月至2018年12月的数据。首先,利用单变量指数广义自回归条件异方差(EGARCH)模型估计股票收益与宏观经济基本面的时变条件方差序列。第二阶段,利用宏观经济基本面的最新标准化平方残差作为股票收益条件方差方程中的外生变量,估计宏观经济力量对股票收益的波动效应。最后,利用向量自回归(VAR)模型检验宏观经济力量与股价之间可能存在的相互作用。研究结果表明,消费者物价指数、国库券利率和外国汇款流入的波动增加了股票收益的波动,而知识产权的波动导致股票收益的波动减小。因此,这些发现的含义表明,股票市场和宏观经济力量在孟加拉国变得相互依存。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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