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The Relationship between Stock Volatility and Macroeconomic Variables

Student: Alexander Kovalenko

Supervisor: Maxim Nikitin

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2018

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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