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| Tekijä: | Xing, X. Howe, J.S. |
| Otsikko: | The empirical relationship between risk and return: evidence from the UK stock market |
| Lehti: | International Review of Financial Analysis
2003 : VOL. 12:3, p. 329-346 |
| Asiasana: | Autoregression Regression analysis Return on investment Risk Stock markets |
| Kieli: | eng |
| Tiivistelmä: | The authors argue that the world market factor should not be ignored in assessing the risk-return relationship in a partially integrated market. A significant positive relationship between stock returns and the variance of returns in the UK stock market after controlling for the covariance of the UK and the world market return is documented applying a bivariate generalized autoregressive conditional heteroscedasticity in mean (GARCH-M) model to the weekly stock index returns for UK and the world market. |
SCIMA