کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475229 | 929067 | 2005 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The relationship between stock returns and volatility in international stock markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The relationship between stock returns and volatility in international stock markets The relationship between stock returns and volatility in international stock markets](/preview/png/10475229.png)
چکیده انگلیسی
This study examines the relationship between expected stock returns and volatility in the 12 largest international stock markets during January 1980 to December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in 6 out of the 12 markets. The results lend some support to the recent claim [Bekaert, G., Wu, G., 2000. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13, 1-42; Whitelaw, R., 2000. Stock market risk and return: an empirical equilibrium approach. Review of Financial Studies 13, 521-547] that stock market returns are negatively correlated with stock market volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 5, December 2005, Pages 650-665
Journal: Journal of Empirical Finance - Volume 12, Issue 5, December 2005, Pages 650-665
نویسندگان
Qi Li, Jian Yang, Cheng Hsiao, Young-Jae Chang,