■ Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange
Nevertheless, there have not been many studies investigating the relationship between stock market volatility and underlying fundamentals. While Schwert (1989) finds weak evidence for the relationship between stock market volatility and macroeconomic variables,† Liljeblom and Stenius (1997) report a statistically significant impact of several macroeconomic variables on stock market volatility, though only a small percentage of the volatility is reported to be explained by macroeconomic fundamentals. On the other hand, Abugri (2008), for Latin American markets, shows that stock market volatility is influenced consistently and significantly by global factors, but the impact of local factors is not consistent among markets.