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Educational Programme
Final Grade
Year of Graduation
Alexander Kovalenko
The Relationship between Stock Volatility and Macroeconomic Variables
Financial Economics
(Master’s programme)
There are two types of risk which affect asset pricing: systematic and idiosyncratic

risks (denoted as "IV"). The second one seems to be less investigated and though has a

significant effect on asset pricing and risk management. Therefore, in this thesis the link

between fundamental IV and IV of stock returns among emerging and developed markets

is analyzed for the period starting from 1980 to 2016. As a consequence of the study a

positive link of IV of EPS and IV of stock returns was received. However, it was found

that IV of EPS does not positively affect IV of stock returns in countries with a low level

of institutional environment.

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