The Relationship between Stock Returns and Volatility in the Seventeen Largest International Stock Markets: A Semi-Parametric Approach
| Autor: | Theodore Simos, Dimitrios Dimitriou |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Autoregressive conditional heteroskedasticity
jel:F21 Variance (accounting) jel:G11 jel:F15 Investment decisions Negative relationship Financial crisis Economics Econometrics Volatility (finance) Risk-return tradeoff international stock markets semi-parametric specification of conditional variance Conditional variance Stock (geology) |
| Zdroj: | Modern Economy. :1-8 |
| ISSN: | 2152-7261 2152-7245 |
| DOI: | 10.4236/me.2011.21001 |
| Popis: | We empirically investigate the relationship between expected stock returns and volatility in the twelve EMU countries as well as five major out of EMU international stock markets. The sample period starts from De-cember 1992 until December 2007 i.e. up to the recent financial crisis. Empirical results in the literature are mixed with regard to the sign and significance of the mean – variance tradeoff. Based on parametric GARCH in mean models we find a weak relationship between expected returns and volatility for most of the markets. However, using a flexible semi-parametric specification for the conditional variance, we unravel significant evidence of a negative relationship in almost all markets. Furthermore, we investigate a related issue, the asymmetric reaction of volatility to positive and negative shocks in stock returns confirming a negative asymmetry in almost all markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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