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ToolsMullineux, A., Bissoondeeal, R., Karoglou, M., Hagstromer, B. and Binner, J., 2014. Stock Market Volatility, Risk Attitude and the Demand for Money in the UK. Working Paper. UNSPECIFIED. (Unpublished)
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Abstract
Is stock market volatility an important determinant of money demand in the UK? If yes, what is the driving force behind that effect? In a cointegration framework, we find that volatility in share prices is an important positive determinant of money demand, alongside standard variables and the stock price level. By studying different stock market indexes effects, we find that the risk aversion of investors is an important force behind the effect, implying that the effect is due to investors’ flight to safer assets in times of volatile stock prices.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Group: | Bournemouth University Business School |
| ID Code: | 21342 |
| Deposited By: | Symplectic RT2 |
| Deposited On: | 10 Jul 2014 10:09 |
| Last Modified: | 14 Mar 2022 13:49 |
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