کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356376 | 1478235 | 2018 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
News and expected returns in East Asian equity markets: The RV-GARCHM model
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Using intraday data to construct realized variance estimates combined with daily data on equity returns from January 1996 to May 2017, equity markets in East Asia are found to be relatively more risky than other markets. The framework uses an intertemporal capital asset pricing model with conditional moments based on realized volatility and a GARCH-in-mean specification to study the impact of news. Significant non-linear dynamics are also identified, with a positive relationship between expected returns and news associated with small shocks, and a negative relationship for large shocks. A similar relationship is found for the Australian market, but not for the US and UK equity markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 57, August 2018, Pages 36-52
Journal: Journal of Asian Economics - Volume 57, August 2018, Pages 36-52
نویسندگان
Vance L. Martin, Chrismin Tang, Wenying Yao,