Empirical Analysis of Stock Returns and Volatility: Evidence from Three European Stock Markets
Author : Jun Lu
Publisher :
Page : 56 pages
File Size : 11,95 MB
Release : 2003
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Author : Jun Lu
Publisher :
Page : 56 pages
File Size : 11,95 MB
Release : 2003
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Author : Greg N. Gregoriou
Publisher : CRC Press
Page : 654 pages
File Size : 34,25 MB
Release : 2009-04-08
Category : Business & Economics
ISBN : 1420099558
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author : Tomasz Bielawski
Publisher :
Page : 108 pages
File Size : 20,75 MB
Release : 2012
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Author : Mbodja Mougoue
Publisher :
Page : pages
File Size : 27,11 MB
Release : 1997
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This paper examines the relationship between stock returns and volatility in the German and French equity markets. Under the assumption of a conditional student t density function, the results indicate that stock returns in both countries may be described by the GARCH (1,1) model. The results also provide evidence that the 1987 stock market crash affected the mean-variance relationship in both countries, and the model's fit is significantly improved by explicitly taking the crash into account. Interestingly, the index of relative risk aversion is positive in both countries but is only significant in Germany when the stock market crash is incorporated into the analysis. The results also reveal that settlement delays significantly affect return in both countries and volatility in France. Furthermore accounting for structural shifts is important in ascertaining the relationship between stock returns and volatility.
Author : Eugenie M. J. H. Hol
Publisher :
Page : 180 pages
File Size : 29,82 MB
Release : 2014-01-15
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ISBN : 9781475751307
Author : Colm Kearney
Publisher :
Page : 46 pages
File Size : 45,77 MB
Release : 2006
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We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 Euro area stock markets over the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find a rise in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to the United States, however, market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are pro-cyclical, and they rise during times of low market returns. Market and average idiosyncratic volatility jointly predict market wide returns, and the latter impact upon both market and idiosyncratic volatility. This has asset pricing and risk management implications.
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Page : 136 pages
File Size : 28,89 MB
Release : 2008
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Author : Ari Agopyan
Publisher :
Page : pages
File Size : 41,63 MB
Release : 1998
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Author : Georgios P. Kouretas
Publisher :
Page : 31 pages
File Size : 35,35 MB
Release : 2008
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In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and the degree of correlation across these markets. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crisis while there is a transition to the low volatility regime as they approach the accession to EU in 2004.
Author : Colm Kearney
Publisher :
Page : 35 pages
File Size : 27,90 MB
Release : 2004
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We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the Euro-area stock markets in the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find an increase in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to their findings, however, market risk is trended upwards and correlations among the stocks are only mildly trended downwards. Market volatility tends to lead the other volatility measures in EMU markets whereas idiosyncratic volatility leads in the US ones. Both the volatility and the correlation measures increase at times of low market returns implying a skewed market portfolio return distribution. We suggest a number of implications of these findings for portfolio management, trading and asset pricing.