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论文:游宇,Applied Economics Letters 2019,Cyclicality of stock market volatility
2019-07-16 10:18  

Cyclicality of stock market volatility


Yu You    Xiaochun Liu    

 

ABSTRACT


By utilizing the significance and stochastic dominance tests, this paper formally tests the relationship
between stock market volatility and the business cycle. Results show that, for most matured
markets, stock market volatility is countercyclical, while for emerging markets, the volatility can
be procyclical.

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