The source of stock return fluctuation in Taiwan

Autor:	Chih-Yun Liu, De-Chih Liu
Rok vydání:	2016
Předmět:	Economics and Econometrics 050208 finance Financial economics Return volatility 0502 economics and business 05 social sciences Aggregate (data warehouse) Econometrics Economics 050207 economics Stock return Full sample Finance
Zdroj:	The Quarterly Review of Economics and Finance. 61:77-88
ISSN:	1062-9769
DOI:	10.1016/j.qref.2015.11.006
Popis:	This paper explores the nature of Taiwanese stock return fluctuation from 1992–2013. We employ a dynamic latent factor model that decomposes stock return fluctuations into aggregate, sectoral and granular components. In the full sample period we find that the aggregate factor contributes 45 percent of the stock return volatility, whereas the granular factor on average accounts for another 45 percent of stock return variation. When sub-sample analysis is executed, we again fail to reject the importance of aggregate and granular factors. These results are closer to the aggregate (and granular) paradigm rather than the sectoral paradigm.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a989c17f817b01bdf2c7786fdc0fe2a9 https://doi.org/10.1016/j.qref.2015.11.006 Zobrazit plný text záznamu Full Text from ScienceDirect