Contents
Stock Returns and Volatility in Emerging Stock Markets
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- 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.
- Issue Date
- 2005-04
- Publisher
- International Journal of Business and Economics
- Journal Title
- International Journal of Business and Economics
- Start Page
- 29
- End Page
- 41
- ISSN
- 1607-0704
- Language
- English
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