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metadata language: English

Stock Market Returns, Volatility, and Future Output

Version
v1
Resource Type
Dataset : survey data
Creator
  • Guo, Hui (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
2003-04-18
Language
English
Free Keywords
economic activity; economic indicators; prediction; securities; stock market returns; stock markets; stock prices; stocks
Description
  • Abstract

    In this article, the author shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton's (1973) Intertemporal Capital Asset Pricing Model. The model helps explain the recent finding that stock market volatility drives out returns in forecasting real gross domestic product growth because the predictive power of returns is hampered by their positive correlation with past volatility. If the positive relation between returns and past volatility is controlled for, however, the author finds that volatility provides no additional information beyond returns in forecasting output in the post-World War II sample.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Geographic Coverage
  • United States
Collection Mode
  • (1) The files submitted are the program file, 0209hgp.txt, and the data file, 0209hgd.txt. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Download
This study is freely available to the general public via web download.
Alternative Identifiers
  • 1269 (Type: ICPSR Study Number)
Publications
  • Guo, Hui. Stock market returns, volatility, and future output. Federal Reserve Bank of St. Louis Review.84, (5), 75-85.2002.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Guo, Hui (2003): Stock Market Returns, Volatility, and Future Output. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01269.v1