ICPSR Logo

This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.

Stock Market Returns, Volatility, and Future Output (ICPSR 1269) RSS

Principal Investigator(s):

Summary:

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.

Access Notes

  • These data are flagged as replication datasets 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.

  • These data are freely available.

Dataset(s)

Dataset - Download All Files (0 MB)
Data:

Study Description

Citation

Guo, Hui. Stock Market Returns, Volatility, and Future Output. ICPSR01269-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2003-04-18. http://doi.org/10.3886/ICPSR01269.v1

Persistent URL:

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote XML (EndNote X4.0.1 or higher)

Scope of Study

Subject Terms:   economic activity, economic indicators, prediction, securities, stock market returns, stock markets, stock prices, stocks

Geographic Coverage:   United States

Data Collection Notes:

(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.

Methodology

Version(s)

Original ICPSR Release:  

Related Publications ?

Utilities

Metadata Exports

If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.

Download Statistics

Found a problem? Use our Report Problem form to let us know.