Market volatility and returns
Idiosyncratic volatility, stock market volatility, and expected stock returns
... Stock Market Returns: Full Sample Note: We report the OLS regression results of the one-quarter-ahead excess stock market return on some predetermined ...stock market volatility; IV t ...
46
STOCK MARKET VOLATILITY AND REGIME SHIFTS IN RETURNS
... STOCK MARKET VOLATILITY AND REGIME SHIFTS IN RETURNS ...stock market crash and a series of sharp breaks in stock prices that followed heightened concern about stock market ...in ...
21
Cross-section of equity returns : stock market volatility and priced factors
... aggregate market volatility factors represent the same systematic ...future market return or future market ...future market returns, especially over a short horizon like a month, ...
109
Stock market returns, volatility, and future output
... stock market returns and volatility. That is, because volatility is serially correlated, returns relate positively to past volatility, but relate negatively to contemporaneous ...
12
Macroeconomic determinants of stock market returns, volatility and volatility risk-premia
... stock market volatility has a very pronounced business cycle pattern, with volatility being higher during recessions than during expansions; see, ...stock market volatility is ...
46
Stock Market Returns Predictability: Does Volatility Matter?
... the volatility expectation of the stock market – Volatility Index which can be added in our model ...the volatility index data is only available from year ...expected volatility is to ...
31
Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market
... stock market of Bangladesh following the deregulating and opening up of its capital market to foreign investors in the ...of market efficiency and the time-varying risk return relationship for this ...
25
Long-range dependence in the returns and volatility of the Finnish housing market
... of volatility clustering in housing markets and long–range dependence in a limited number of ...price volatility in general and of the long–term depen- dence behaviour in both returns and ...
25
Stock Returns And Volatility İn An Emerging Equity Market. Evidence From Kenya
... policies, volatility shocks would persist for ...higher market volatility with Thursday being the most pronounced which is consistent with the summary statistics reported in Table ...
20
An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese Stock Market
... of volatility will yield abnormal returns to the investors. Returns are abnormal when they exceed what an investor would normally expect to earn from accepting a certain level of ...abnormal ...
221
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility
... stock market behaviour using C- CAPM in which consumption is the sole factor of ...stock market volatility and so requires an implausibly large value of the coefficient of relative risk aversion to ...
38
News on Stock Market Returns and Conditional Volatility in Nigeria: An EGARCH-in-Mean Approach.
... stock market returns and conditional volatility in ...stock market returns and conditional ...the market takes a short time to die out, thirdly, that the stock market ...
10
Essays on Momentum, Autoregressive Returns, and Conditional Volatility: Evidence From the Saudi Stock Market
... Conditional Volatility, and Asymmetric Volatility Spillover in the Saudi Stock ...Market.” Volatility and trading volume are two important variables in the financial economic literature, as ...
156
Stock market returns and volatility in the BRVM
... stock market, BRVM, WAEMU, EGARCH-M, Risk-returns ...expected returns and expec- ted volatility have been extensively examined over the past ...stock returns and volatility if ...
6
Preholiday returns and volatility in the Thai stock market
... stock returns are abnormally high before ...abnormal returns during holiday periods a few studies have provided specific reasons for the existence of this ...in returns and volatility of the ...
14
Implied volatility spreads and expected market returns
... value-weighted returns in Panel A, the coe¢ cients of the volatility spread measures are still signi…cantly negative ranging from ...when volatility spread measures increase by 1%, one-week ahead ...
31
Financial Asset Returns, Market Timing, and Volatility Dynamics
... of returns that one should run to detect sign dynamics? It is clear that the regressor should be a nonlinear function of conditional variance, and more specifically, our earlier analysis suggests that the obvious ...
36
B. Volatility of Excess Cash Holdings and Future Market Returns
... B. Volatility of Excess Cash Holdings and Future Market Returns It is interesting to ask whether excess cash holdings of mutual funds predict market ...of market-timing ...possess ...
7
Stock Returns and Volatility
... stock returns and current and future volatility for Brazilian stocks, employing Seemingly Unrelated ...stock market due to the Real stabilization plan, which has been successful in reducing inflation ...
22
Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility
... stock returns for six countries, Indonesia, South Korea, Argentina, Brazil, Pakistan, and Russia over the time period 1 July 1997 to 31 December ...stock returns (Returns) are computed by taking the ...
31