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Stock Returns and Volatility in Emerging Stock Markets

Shin, Ja Eun

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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
Keywords
emerging markets; stock returns; volatility; semiparametric GARCH
Citation
International Journal of Business and Economics, v.4, no.1, pp.29 - 41, 2005
URL
http://www.ijbe.org/table%20of%20content/pdf/vol4-1/vol4-1-03.pdf
Journal Title
International Journal of Business and Economics
Start Page
29
End Page
41
ISSN
1607-0704
Language
English
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