کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003169 937552 2011 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations
چکیده انگلیسی

One of the most important stylized facts in finance is that stock index returns are inversely related to volatility. The theoretical rationale behind the proposition is still controversial. The causal relationship between returns and volatility is investigated in the US stock market over the period 2004–2009 using daily data. We apply a bootstrap test with leveraged adjustments that is robust to non-normality and ARCH. We find that the volatility causes returns negatively and returns cause volatility positively. The policy implications of our findings are discussed in the main text.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 25, Issue 3, September 2011, Pages 329–334
نویسندگان
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