Stock returns and volatility: the Brazilian case*

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2007
Outros Autores: Guerra Medeiros, Solange
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/718
https://repositorio.ucb.br:9443/jspui/handle/123456789/7927
Resumo: This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.
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spelling Tabak, Benjamin MirandaGuerra Medeiros, Solange2016-10-10T03:53:08Z2016-10-10T03:53:08Z2007TABAK, Benjamin M.; GUERRA, Solange M.. Stock returns and volatility: the Brazilian case. Econ. Apl., Ribeirão Preto, v. 11, n. 3, Sept. 2007http://twingo.ucb.br:8080/jspui/handle/10869/718https://repositorio.ucb.br:9443/jspui/handle/123456789/7927This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.Made available in DSpace on 2016-10-10T03:53:08Z (GMT). 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dc.title.pt_BR.fl_str_mv Stock returns and volatility: the Brazilian case*
title Stock returns and volatility: the Brazilian case*
spellingShingle Stock returns and volatility: the Brazilian case*
Tabak, Benjamin Miranda
stock returns
volatility
Seemingly Unrelated Regressions
EGARCH.
title_short Stock returns and volatility: the Brazilian case*
title_full Stock returns and volatility: the Brazilian case*
title_fullStr Stock returns and volatility: the Brazilian case*
title_full_unstemmed Stock returns and volatility: the Brazilian case*
title_sort Stock returns and volatility: the Brazilian case*
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
Guerra Medeiros, Solange
author_role author
author2 Guerra Medeiros, Solange
author2_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
Guerra Medeiros, Solange
dc.subject.por.fl_str_mv stock returns
volatility
Seemingly Unrelated Regressions
EGARCH.
topic stock returns
volatility
Seemingly Unrelated Regressions
EGARCH.
dc.description.abstract.por.fl_txt_mv This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.
publishDate 2007
dc.date.issued.fl_str_mv 2007
dc.date.accessioned.fl_str_mv 2016-10-10T03:53:08Z
dc.date.available.fl_str_mv 2016-10-10T03:53:08Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv TABAK, Benjamin M.; GUERRA, Solange M.. Stock returns and volatility: the Brazilian case. Econ. Apl., Ribeirão Preto, v. 11, n. 3, Sept. 2007
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/718
https://repositorio.ucb.br:9443/jspui/handle/123456789/7927
identifier_str_mv TABAK, Benjamin M.; GUERRA, Solange M.. Stock returns and volatility: the Brazilian case. Econ. Apl., Ribeirão Preto, v. 11, n. 3, Sept. 2007
url http://twingo.ucb.br:8080/jspui/handle/10869/718
https://repositorio.ucb.br:9443/jspui/handle/123456789/7927
dc.language.iso.fl_str_mv eng
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