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Stock Returns and Volatility in Emerging Stock Markets

Author

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  • Jaeun Shin

    (KDI School of Public Policy and Management, Korea)

Abstract

Both parametric and semiparametric GARCH in mean estimations find a positive but insignificant relationship between expected stock returns and volatility in emerging stock markets. The 1997¡V1998 global emerging market crisis seems to induce changes in GARCH parameters.

Suggested Citation

  • Jaeun Shin, 2005. "Stock Returns and Volatility in Emerging Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(1), pages 31-43, April.
    • Handle: RePEc:ijb:journl:v:4:y:2005:i:1:p:31-43
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    emerging markets; stock returns; volatility; semiparametric GARCH;
    All these keywords.

    JEL classification:

    • 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

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