Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
| Autor: | Wing-Keung Wong, Zhihui Lv, Riza Demirer, Rangan Gupta |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Multivariate statistics
stock market volatility Stock market volatility lcsh:TJ807-830 Geography Planning and Development lcsh:Renewable energy sources Bivariate analysis Management Monitoring Policy and Law Market states equity return dispersion business cycle 0502 economics and business Econometrics Business cycle Economics G10 050207 economics Excess return C32 lcsh:Environmental sciences E32 lcsh:GE1-350 050208 finance Renewable Energy Sustainability and the Environment lcsh:Environmental effects of industries and plants 05 social sciences Equity (finance) JEL Codes JEL Codeslcsh:TD194-195 multivariate causality Nonlinear causality |
| Zdroj: | Sustainability Volume 11 Issue 2 Sustainability, Vol 11, Iss 2, p 351 (2019) |
| ISSN: | 2071-1050 |
| DOI: | 10.3390/su11020351 |
| Popis: | We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion possesses incremental information regarding future stock return dynamics beyond that which can be explained by the state of the economy. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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