Volatility in emerging stock markets

Both parametric and semiparametric GARCH in mean estimations find a positive but insignificant relationship between expected stock returns and volatility in emerging stock markets.

If you experience problems downloading a file, check if you have the proper application to view it first.

Access to this page has been denied.

In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large. G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates G15 - Financial Economics - - General Financial Markets - - - International Financial Markets C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: A New Approach ," Econometrica , Econometric Society, vol.

Stock Returns and Volatility in Emerging Stock Markets

Campbell, John Y, A Theory Of Market Equilibrium Under Conditions Of Risk ," Journal of Finance , American Finance Association, vol. The Arch-M Model ," Econometrica , Econometric Society, vol. An exploratory investigation ," Journal of Financial Economics , Elsevier, vol.

An Exploratory Investigation ," NBER Working Papers , National Bureau of Economic Research, Inc.

A latent VAR approach ," Journal of Financial Economics , Elsevier, vol. Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item. Comparing BRIC markets with markets in the USA ," International Review of Financial Analysis , Elsevier, vol. New Evidence ," MPRA Paper , University Library of Munich, Germany. Evidence from China and India ," The Quarterly Review of Economics and Finance , Elsevier, vol.

A Case Study of Mumbai and Karachi Stock Exchanges ," Lahore Journal of Economics , Department of Economics, The Lahore School of Economics, vol. Evidence from the Macedonian stock exchange ," MPRA Paper , University Library of Munich, Germany. Linear or non-linear trade-off? Evidence from South Africa and China stock markets ," MPRA Paper , University Library of Munich, Germany. Lists This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item.

It also allows you to accept potential citations to this item that we are uncertain about. If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services. IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! Stock Returns and Volatility in Emerging Stock Markets.

Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Jaeun Shin KDI School of Public Policy and Management, Korea.

Volatility in Emerging Stock Markets on JSTOR

Article provided by College of Business and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window.

References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS. Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Access and download statistics.

When requesting a correction, please mention this item's handle: Yi-Ju Su If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. How to help Corrections Volunteers Get papers listed Open a RePEc archive Get RePEc data. This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St.

Louis using RePEc data.