کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5056316 1371624 2014 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An analysis of firm and market volatility
ترجمه فارسی عنوان
تجزیه و تحلیل نوآوری شرکت و بازار
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- We examine the impact of market volatility on firm volatility.
- We use time series data for 560 firms listed on NYSE.
- We find market volatility has a statistically significant effect on firm volatility.
- We discover significant evidence of size effects.

In this paper, using time series data for the period 2 January 1998 to 31 December 2008 for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop an analytical framework motivating the firm-market volatility relationship. We present three new findings on volatility. First, we discover significant evidence of common volatility; for 12 out of 14 sectors, market volatility has a statistically significant effect on firm volatility for at least 50 percent of firms. Second, we discover significant evidence of size effects: for small-sized firms, there is weak evidence of commonality in volatility, while for large-sized firms there is high evidence (for as much as 75 percent of firms) of commonality in volatility. Third, we find that market volatility predicts firm volatility for firms belonging to five of the 14 sectors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Systems - Volume 38, Issue 2, June 2014, Pages 205-220
نویسندگان
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