search query: @author Theodossiou, P. / total: 5
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| Author: | Theodossiou, P. Lee, U. |
| Title: | Relationship between volatility and expected returns across international stock markets |
| Journal: | Journal of Business Finance and Accounting
1995 : MAR, VOL. 22:2, p. 289-300 |
| Index terms: | FINANCE ACCOUNTING HETEROSCEDASTICITY |
| Language: | eng |
| Abstract: | This paper investigates the intertemporal behavior of stock market volatility and its relationship to expected returns for ten industrialized countries using the GARCH-M model. Significant conditional heteroskedasticity is found to be present in the stock market return series of all countries, indicating the presence of volatility clustering. No relationship is found between stock market volatility and expected returns. |
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