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Modelling return and conditional volatility exposures in the downside framework for new tech and media stocks on the Warsaw Stock Exchange

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  • Lesław Markowski

    (Uniwersytet Warmińsko-Mazurski w Olsztynie)

Abstract

This paper empirically models conditional volatility exposures for daily return of tech stocks quoted on the Warsaw Stock Exchange. For this purpose a Factor-ARCH type process has been adopted where the exposure of stock volatility to the main index (WIG) volatility is estimated by means of the variance equation. All analyses were made in the downside and standard asset pricing frameworks. This article provides evidence that conditional volatilities of return on stock have a statistically significant contemporaneous association with the index volatility, particularly in the downside framework. For the entire period only the downside volatility beta is priced. This measure may be the potential risk factor in asset pricing.

Suggested Citation

  • Lesław Markowski, 2015. "Modelling return and conditional volatility exposures in the downside framework for new tech and media stocks on the Warsaw Stock Exchange," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 36, pages 391-402.
    • Handle: RePEc:sgh:annals:i:36:y:2015:p:391-402
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    References listed on IDEAS

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    4. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(1), pages 1-11, January.
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