Volatility, Leverage and Firm Size: The U.K. Evidence
AbstractThe GARCH family of statistical processes are used to examine the characteristics of the volatility of the returns on capitalization-ranked portfolios of U.K. company shares. In common with U.S. evidence, the authors find an asymmetry related to firm size. Unexpected returns of large firm portfolios influence the future volatility and returns of small firm portfolios but not the reverse. The authors extend earlier studies by considering whether the direction of the shock is important. There is evidence of a 'leverage' effect and it is concluded that the appropriate choice of volatility model for U.K. equity returns depends upon firm size. Copyright 1996 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Bibliographic InfoArticle provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.
Volume (Year): 64 (1996)
Issue (Month): 0 (Suppl.)
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Web page: http://www.socialsciences.manchester.ac.uk/disciplines/economics/
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- Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
- Patricia Chelley-Steeley & James Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 409-423.
- Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
- Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 1-15, February.
- Steeley, James M., 2006. "Volatility transmission between stock and bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 71-86, February.
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