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Volumn 16, Issue 4, 1997, Pages 561-579

Stock returns and volatility in emerging financial markets

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Indexed keywords


EID: 0031206570     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(97)00020-X     Document Type: Article
Times cited : (285)

References (21)
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    • Bekaert, G.1    Harvey, C.R.2
  • 3
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    • Capital market equilibrium with restricted borrowing
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    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
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    • Bollerslev, T.1
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    • A conditionally heteroskedastic time series model for speculative prices and rates of return
    • Bollerslev, T. (1987) A conditionally heteroskedastic time series model for speculative prices and rates of return. The Review of Economics and Statistics 69, 542-547.
    • (1987) The Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 6
    • 70349218800 scopus 로고
    • Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
    • Bollerslev, T. and Wooldridge, J. M. (1992) quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11, 143-172.
    • (1992) Econometric Reviews , vol.11 , pp. 143-172
    • Bollerslev, T.1    Wooldridge, J.M.2
  • 14
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
    • Engle, R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 15
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    • Modelling the persistence of conditional variances
    • Engle, R. F. and Bollerslev, T. (1986) Modelling the persistence of conditional variances. Econometric Reviews 5, 1-50.
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    • Engle, R.F.1    Bollerslev, T.2
  • 16
    • 84987592374 scopus 로고
    • Conditional heteroskedasticity and global stock return distributions
    • Errunza, V., Hogan Jr., K., Kini, O. and Padmanabhan, P. (1994) Conditional heteroskedasticity and global stock return distributions. The Financial Review 29, 293-317.
    • (1994) The Financial Review , vol.29 , pp. 293-317
    • Errunza, V.1    Hogan K., Jr.2    Kini, O.3    Padmanabhan, P.4
  • 17
    • 0011028511 scopus 로고
    • Portfolio investment flows to emerging markets
    • ed M. J. Howell, Euromoney Books, London
    • Gooptu, S. (1994) Portfolio investment flows to emerging markets. In Investing in Emerging Markets, ed M. J. Howell, Euromoney Books, London.
    • (1994) Investing in Emerging Markets
    • Gooptu, S.1
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    • Stock market prices do not follow random walks: Evidence from a simple specification test
    • Lo, A. W. and MacKinley, A. C. (1988) Stock market prices do not follow random walks: evidence from a simple specification test. The Review of Financial Studies 1, 41-66.
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    • Lo, A.W.1    MacKinley, A.C.2
  • 21
    • 0003227167 scopus 로고
    • International portfolio choice and asset pricing: An integrative survey
    • eds V. Maksimovic and W. Ziemba. North Holland
    • Stulz, R. M. (1995) International portfolio choice and asset pricing: an integrative survey. In The Handbook of Modern Finance, eds V. Maksimovic and W. Ziemba. North Holland.
    • (1995) The Handbook of Modern Finance
    • Stulz, R.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.