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https://doi.org/10.1016/S1057-5219(01)00066-7

has been cited by the following article:

• TITLE: Impact of Macroeconomic Volatility on Stock Market Volatility in Bangladesh

  AUTHORS: Md. Rafiqul Matin

  KEYWORDS: Stock Market Volatility, Macroeconomic Volatility, Conditional Variance, Volatility Clustering, GARCH Family Models, Autoregressive Distributed Lag (ARDL) Cointegration

  JOURNAL NAME: Journal of Financial Risk Management, Vol.12 No.3, September 20, 2023

  ABSTRACT: This study investigates the impact of macroeconomic volatility on stock market volatility in Bangladesh employing GARCH and ARDL cointegration models using monthly data from January 1991 to December 2015. The findings confirm that none of the selected macroeconomic variables’ volatilities can significantly explain the long-and short-run stock market volatility. The variances of the residuals are found unstable for most of the period and the current volatility is more sensitive to its past values than to new surprises indicating market inefficiency. Although, the reform initiatives, undertaken following the catastrophe of 1996, have improved the volatility condition of the market, but the second catastrophe of 2010 has put a question mark on it. The outcomes of this study are expected to help regulators and policymakers in assessing the degree to which the stock market may need to be reformed.