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

Version Date: Apr 18, 2003

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Principal Investigator(s):
Hui Guo, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01269.v1

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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.

Citation

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

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Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. (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.

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Original Release Date

2003-04-18

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • 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
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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.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.