IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v10y2000i2p207-220.html
   My bibliography  Save this article

Testing volatility on the Trinidad and Tobago Stock Exchange

Author

Listed:
  • Hyginus Leon
  • Shelton Nicholls
  • Kelvin Sergeant

Abstract

This paper estimates the responsiveness of sectoral subindex returns to changes in the domestic market portfolio, and compares predictions of nonsystematic risk using GARCH and EGARCH specifications of the error variance. Our results show that returns for the portfolios of Commercial Banks and Conglomerates respond more than proportionately to changes in the market portfolio, and that nonsystematic volatility appears to have been greater during periods of macroeconomic instability and political unrest.

Suggested Citation

  • Hyginus Leon & Shelton Nicholls & Kelvin Sergeant, 2000. "Testing volatility on the Trinidad and Tobago Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 207-220.
    • Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:207-220
    DOI: 10.1080/096031000331851
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331851
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/096031000331851?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chahine, Salim & Daher, Mai & Saade, Samer, 2021. "Doing good in periods of high uncertainty: Economic policy uncertainty, corporate social responsibility, and analyst forecast error," Journal of Financial Stability, Elsevier, vol. 56(C).
    2. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
    3. Fu, Yishu, 2019. "The value of corporate governance: Evidence from the Chinese anti-corruption campaign," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 461-476.
    4. Fatma Ben Moussa & Mariem Talbi, 2019. "Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 48-64.
    5. Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018. "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 118-131.
    6. Trabelsi Mnif, Afef, 2017. "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 206-214.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:207-220. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.