haku: @author Kane, A. / yhteensä: 11
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| Tekijä: | Kane, A. |
| Otsikko: | Regularities in volatility and the price of risk following large stock market movements in the US and Japan |
| Lehti: | Journal of International Money and Finance
2000 : FEB, VOL. 19:1, p. 1-32 |
| Asiasana: | VOLATILITY PRICES RISK |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the effects of large price changes on volatility and the price of risk of two broad stock indices, the CRSP value-weighted index of NYSE and AMEX stocks and the TOPIX of the Tokyo Stock Exchange. Volatility generally rises after large price changes of either sign but usually revert to pre-jump levels within a week or two. In contrast, the price of risk (except for the first day after a jump) typically declines following large price increases and rises following large price declines with little apparent tendency to revert toward pre-jump levels before the arrival of the next jump. |
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