| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5083866 | International Review of Economics & Finance | 2013 | 12 Pages |
Abstract
⺠The idiosyncratic volatility puzzle is not present in country-level equity indices. ⺠Time-series properties of country-specific and firm-specific shocks are different. ⺠Country-specific volatility is more persistent than firm-specific volatility. ⺠Country-specific return skewness is not significant enough to affect index returns. ⺠Investment strategies in forming global and domestic portfolios should differ.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
C. James Hueng, Ruey Yau,