Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/13989
Autoria: Ferreira, N. B.
Menezes, R.
Mendes, D. A.
Data: 2007
Título próprio: Asymmetric conditional volatility in international stock markets
Volume: 382
Número: 1
Paginação: 73-80
ISSN: 0378-4371
DOI (Digital Object Identifier): 10.1016/j.physa.2007.02.010
Palavras-chave: Asymmetric conditional volatility
Stock market returns
Threshold adjustment
Vector autoregression
Resumo: Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.
Arbitragem científica: yes
Acesso: Acesso Aberto
Aparece nas coleções:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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