کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5107365 | 1481793 | 2017 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Determinants of idiosyncratic volatility: Evidence from the Indian stock market
ترجمه فارسی عنوان
تعیین کننده بی ثباتی فردی: شواهد از بازار سهام هند
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
This paper investigates whether firm-specific characteristics explain idiosyncratic volatility in the stocks of non-financial firms traded in the Indian stock market. It employs the linear time series five-factor model, augmented with a liquidity factor and the conditional EGARCH model, to extract yearly idiosyncratic volatility. We estimate a panel data regression to quantify the relationship between firm-specific characteristics and the volatility of individual securities. The results show that idiosyncratic volatility is significant in emerging markets such as India, and that cross-sectional return variations of firms are associated with firm-specific characteristics such as firm size, book-to-market ratio, momentum, liquidity, cash flow-to-price ratio, and returns on assets. We find that the idiosyncratic risk documented in this study is associated with smaller size of company, higher liquidity, low momentum, high book-to-market ratio, and low cash flow-to-price ratio. The findings suggest need to develop alternative tools to make investment decisions in emerging markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 41, October 2017, Pages 172-184
Journal: Research in International Business and Finance - Volume 41, October 2017, Pages 172-184
نویسندگان
Jyoti Kumari, Jitendra Mahakud, Gourishankar S. Hiremath,