Volatility of stock returns: Emerging and mature markets

Managerial Finance

Volumn 31, Issue 2, 2005, Pages 66-86

  Michelfelder, Richard A ^a   Pandya, Saurin ^b  

^a RUTGERS UNIVERSITY   (United States)

^b Symplicity Business Logic Inc   (United States)

Author keywords

Emerging stock markets; GARCH; Kurtosis; Skewness; Volatility

Indexed keywords

EID: 85016223603     PISSN: 03074358     EISSN: 17587743     Source Type: Journal    
DOI: 10.1108/03074350510769505     Document Type: Article

References (34)

1. Bekaert, G., C. Erb, R. C. Harvey and T. Viskanta, 1997, “Distributional Characteristics of Emerging Market Returns and Asset Allocation,” Journal of Portfolio Management, v24, 102-116.
2. Bekaert, G., C. Erb, R.C. Harvey and T. Viskanta, May 1996, “The Behavior of Emerging Market Returns.” Based on a presentation at the Conference on The Future of Emerging Capital Flows at New York University.
3. Bekaert, G., and C.R. Harvey, 1997, “Emerging Equity Market Volatility,” Journal of Financial Economics, v43, 22-77.
4. Black, F., 1976, “Studies of Stock Price Volatility Changes,” Proceedings of the 1976 Meeting of Business and Economic Statistics Section, American Statistical Association, 177-181.
5. Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, v21, 307-327.
6. Bollerslev, T., R.F. Engle and D.B. Nelson, 1993, “ARCH models”, Department of Economics, University Of California, San Diego.
7. Chou, R., 1988, “Volatility Persistence, and Stock Valuation: Some Empirical Evidence Using GARCH,” Journal of Applied Econometrics, v3, 279-294.
8. Choudhry, T., 1996, “Stock Market Volatility and the Crash of 1987: Evidence from Six Emerging Markets,” Journal of International Money and Finance, v15, 969-981.
9. Christofi A., E. Kahya, G. Koutmos, P. Theodossiou, 1997, “Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets,” The Financial Review, v32, 205-224.
10. Engle, R., 1982, “Autoregressive Conditional Density Estimation,” International Economic Review, 35, 705-730.
11. Engle, R.F., T. Ito, and W.L. Lin, 1994, “Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility,” Review of Financial Studies, v7, 507-538.
12. Eun C.S., and S. Shim, 1989, “International Transmission of Stock Market Movements,” Journal of Financial and Quantitative Analysis, v24, 241-256.
13. Fama, E., 1965, “The Behavior of Stock Market Movements,” Journal of Business, v38, 1749-1778.
14. Fatemi, A.M., and J. Park, 1993, “The Linkages Between the Equity Markets of Pacific-Basin Countries and Those of the US, UK and Japan: A Vector Autoregression Analysis,” Global Finance Journal, v4, 49-64.
15. French, K., G.W. Schwert, and R. Stambaugh, 1987, “Expected Stock Returns and Volatility,” Journal of Financial Economics, v19, 3-29
16. Fung, H., and W.P.H. Poon, 2000, “Red Chips or H Shares: Which China-Based Securities Process Information the Fastest?,” Journal of Multinational Financial Management, v10, 315-343.
17. Glosten, L., R. Jagannathan, and D. Runkle, 1993, “On the Relation Between the expected Value and the Volatility of the Nominal Excess Return on Stocks,” Journal of Finance, v48, 1779-1801.
18. Hamao Y., R.W. Masulis and V. Ng, 1990, “Correlations in Price Changes and Volatility Across International Stock Markets,” Review of Financial Studies, v3, 281-307.
19. Hansen, C.B., J.B. McDonald, P. Theodossiou, 2003, “Flexible Parametric Distributions for Financial Data,” working paper, Rutgers University, School of Business-Camden.
20. Hardouvelis, G., and P. Theodossiou, 2002, “The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets,” Review of Financial Studies, v15, 1525-1559.
21. Harvey, C.R., and A. Siddique, 1999, “Autoregressive Conditional Skewness,” Journal of Financial and Quantitative Analysis, v34, 465-487.
22. He L.T., 2001. “Time Variation Paths of International Transmission of Stock Volatility-U.S. Vs Hong Kong and South Korea,” Global Finance Journal, v12, 79-93.
23. Hull, J., 2003. Options, Futures, and Other Derivatives. 5th ed., New York: Prentice-Hall. In F., S. Kim, C. Viney, and J.H. Yoon, 2001, “Dynamic Independence and Volatility Transmission of Asian Stock Markets Evidence from the Asian Crisis,” International Review of Financial Analysis, v10, 87-96.
24. Koutmos, G., C. Negakis, and P. Theodossiou, 1993, “Stochastic Behaviour of the Athens Stock Exchange,” Applied Financial Economics, v3, 119-126.
25. Koutmos, G., C. Negakis, and P. Theodossiou, 1993, “The Intertemporal Relation Between the U.S. and Greek Stock Markets: A Conditional Variance Tale Analysis,” The International Journal of Finance, v5, 492-508.
26. Koutmos G., and P. Theodossiou, 1994, “Time-Series Properties and Predictability of Greek Exchange Rates,” Managerial and Decision Economics, v15, 159-167.
27. Mandelbrot, B., 1963, “The Variation of Certain Speculative Prices,” Journal of Business, v36, 394-419.
28. Negakis, C., and D. Kambouris, 1994, “Athens Stock Exchange: Organization, Management, and Behavior of Major Stock Market Indices”, Managerial Finance, v20, 43-51.
29. Nelson, D.B., 1990, “A Note on the Normalized Residuals from ARCH and Stochastic Volatility Models,” Unpublished Manuscript, University of Chicago.
30. Nelson, D.B., 1991, “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica, v59, 347-370.
31. Poterba, J.M., and L.H. Summers, 1986, “The Persistence of Volatility and Stock Market Fluctuations,” American Economic Review, v76, 1142-1151.
32. Smith K.L., 2001, “Pre-and Post-1987 Crash Frequency Domain Analysis among Pacific Rim Equity Markets,” Journal of Multinational Financial Management, v11, 69-87.
33. Theodossiou, P., May 1994, “The Stochastic Properties of Major Canadian Exchange Rates,” The Financial Review, v29 (2), 193-221.
34. Theodossiou P., and U. Lee, 1993, “Mean and Volatility Spillovers Across Major National Stock Markets: Further Empirical Evidence,” The Journal of Financial Research, v16, 337-350.