کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958545 | 929029 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Explaining asymmetric volatility around the world
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Based on the APARCH model and two outlier detection methods, we compute reliable time series of volatility asymmetry for 49 countries with relatively few observations. Results show a steady increase in the asymmetry over the years for most countries. We find that economic development and market capitalization/GDP are the most important factors that increase volatility asymmetry. We also find that higher participation of private investors and coverage by financial analysts increase the asymmetry, suggesting investor sentiment as a driving force. Leverage and feasibility of short selling increase volatility in falling market conditions, although only to a smaller extent.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 17, Issue 5, December 2010, Pages 938–956
Journal: Journal of Empirical Finance - Volume 17, Issue 5, December 2010, Pages 938–956
نویسندگان
Tõnn Talpsepp, Marc Oliver Rieger,