Stock Market Volatility, Risk Attitude and the Demand for Money in the UK.

Mullineux, 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 (Unpublished)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)
Subjects:UNSPECIFIED
Group:Business School
ID Code:21342
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:10 Jul 2014 10:09
Last Modified:10 Jul 2014 10:09

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