Asset prices and economic fluctuations: The implications of stochastic volatility

doi:10.1016/j.econmod.2017.03.017

CORC > 上海财经大学 > 上海财经大学

	Asset prices and economic fluctuations: The implications of stochastic volatility
	Chen, Junping 1; Xiong, Xiong 2,4; Zhu, Jie 3,5; Zhu, Xiaoneng 1,6
刊名	ECONOMIC MODELLING
	2017-08
卷号	64 页码:128-140
关键词	Economic fluctuations Dynamic Fama-French factors Stochastic volatility International stock markets Predictability
ISSN号	0264-9993
DOI	10.1016/j.econmod.2017.03.017
英文摘要	This paper investigates whether the multi-factor stochastic volatility of stock returns is related to economic fluctuations and affects asset prices. We address these issues in a dynamic Fama-French three-factor volatility model framework. Consistent with the ICAPM with stochastic volatility (Campbell et al., 2017), we find that the conditional volatility of the size and value factors is significantly related to economic uncertainty. These volatilities are also significant pricing factors. The out-of-sample forecasting analysis further reveals that the conditional volatility can predict stock returns and deliver economic gain in asset allocation. Our analysis sharpens the understanding on the link between the stock market and economic fundamentals.
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000405052600013
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/932]
专题	上海财经大学
通讯作者	Xiong, Xiong
作者单位	1.Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China; 2.Tianjin Univ, Coll Management & Econ, Tianjin, Peoples R China; 3.Shanghai Univ, SHU UTS SILC Business Sch, Shanghai, Peoples R China; 4.Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin, Peoples R China; 5.Univ Technol Sydney, Sydney, NSW, Australia; 6.Shanghai Key Lab Financial Informat Technol, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Chen, Junping,Xiong, Xiong,Zhu, Jie,et al. Asset prices and economic fluctuations: The implications of stochastic volatility[J]. ECONOMIC MODELLING,2017,64:128-140.
APA	Chen, Junping,Xiong, Xiong,Zhu, Jie,&Zhu, Xiaoneng.(2017).Asset prices and economic fluctuations: The implications of stochastic volatility.ECONOMIC MODELLING,64,128-140.
MLA	Chen, Junping,et al."Asset prices and economic fluctuations: The implications of stochastic volatility".ECONOMIC MODELLING 64(2017):128-140.