Stock returns, seasonality and asymmetric conditional volatility in world equity markets

Simple item page
dc.citation.epage268en_US
dc.citation.issueNumber4en_US
dc.citation.spage263en_US
dc.citation.volumeNumber8en_US
dc.contributor.authorBalaban, E.en_US
dc.contributor.authorBayar, A.en_US
dc.contributor.authorKan, Ö. B.en_US
dc.date.accessioned2016-02-08T10:34:04Z
dc.date.available2016-02-08T10:34:04Z
dc.date.issued2001en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThe paper tests four hypotheses at the same time using an autoregressive return-generating process and an asymmetric conditional variance specification, both also including deterministic day of the week dummies. The daily stock index returns from 19 countries are employed to test: (H1) predictable time variation in conditional volatility; (H2) asymmetry in volatility and leverage effect; (H3) effects of estimated volatility on returns; and (H4) day of the week effects on both returns and their volatility. Evidence is provided for predictable time varying daily volatility in all markets among which eight also exhibit a significant leverage effect. There is a significantly positive relationship between returns and their conditional volatility in only three countries. The nature of the day of the week effects on returns and their conditional volatility differs greatly among countries and across days. Thirteen countries exhibit seasonality in either mean returns (seven countries) or volatility (eight countries) or both (two countries). Each day is at least once reported to exhibit significant positive and negative effects in both mean and volatility with the exception that there is no negative effect on mean returns and no positive effect in volatility on Wednesdays. © 2001 Taylor & Francis Ltd.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:34:04Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2001en
dc.identifier.doi10.1080/135048501750104051en_US
dc.identifier.eissn1466-4291
dc.identifier.issn1350-4851
dc.identifier.urihttp://hdl.handle.net/11693/24766
dc.language.isoEnglishen_US
dc.publisherRoutledgeen_US
dc.relation.isversionofhttps://doi.org/10.1080/135048501750104051en_US
dc.source.titleApplied Economics Lettersen_US
dc.titleStock returns, seasonality and asymmetric conditional volatility in world equity marketsen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Stock returns, seasonality and asymmetric conditional volatility in world equity markets.pdf
Size:
262.89 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Scholarly Publications - Management