Macroeconomic determinants of stock market volatility: Evidence from post socialist countries

Suvdaa Damiran; Odbileg  Dorjdagva; Batbileg Sukhee; Tsevelmaa Myagmarsuren

doi:10.15549/jeecar.v9i4.966

Authors

Suvdaa Damiran National University of Mongolia
Odbileg Dorjdagva National University of Mongolia https://orcid.org/0000-0001-7036-6882
Batbileg Sukhee National University of Mongolia
Tsevelmaa Myagmarsuren National University of Mongolia

DOI:

https://doi.org/10.15549/jeecar.v9i4.966

Keywords:

Stock Market Volatility (SMV),, Turnover Ratio (TOR),, Stock Market Capitalization (SMC), Economic freedom (EF), Macroeconomic indicators

Abstract

This paper aims to estimate macroeconomic determinants of stock market volatility (SMV) for post-socialist countries using unbalanced panel data from 1995 to 2020. We evaluated the impacts of the stock market and macroeconomic determinants on SMV using the Feasible Generalized Least Squares (FGLS) model based on the data of selected eleven post-socialist countries in terms of two consecutive years. The findings reveal that economic freedom has a strong and good impact at any time; however, although the previous year's turnover ratio (TOR) had a positive impact, it has an unfavorable impact on SMV in the current year. Furthermore, the year's inflation rate, level of corruption, economic growth rate, and stock market value have all shown a negative impact. The study's findings serve as a useful reference for stock market practitioners and policymakers in these nations in making decisions.

Author Biographies

Suvdaa Damiran, National University of Mongolia

PhD, professor at Department of Finance

Odbileg Dorjdagva, National University of Mongolia

MBA, A senior lecturer at Department of Finance

Batbileg Sukhee, National University of Mongolia

PhD, associate professor at Department of Applied Mathematics

Tsevelmaa Myagmarsuren, National University of Mongolia

MBA, trainee lecturer at Department of Finance

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