This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Stock returns and volatility: An empirical study of the UK stock market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Poon, Ser-Huang
Taylor, Stephen J.

Additional information is available for the following registered author(s):

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6VCY-45JK60M-21/2/c5cef6bca0c0e481ff8a28149d8cd4d1
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 16 (1992)
Issue (Month): 1 (February)
Pages: 37-59
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:jbfina:v:16:y:1992:i:1:p:37-59

Contact details of provider:
Web page: http://www.elsevier.com/locate/jbf

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords:

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689. [Downloadable!]
  2. Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009. "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 137-154, February. [Downloadable!] (restricted)
  3. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. Patricia L. Chelley-Steeley & James M. Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(6), pages 409-423, March. [Downloadable!] (restricted)
  5. Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat, 2004. "An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 1(2), pages 101-115, December. [Downloadable!]
  6. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining movements in UK stock prices: How important is the US market?," Centre for Growth and Business Cycle Research Discussion Paper Series 27, Economics, The Univeristy of Manchester. [Downloadable!]
    Other versions:
  7. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute. [Downloadable!]
  8. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136. [Downloadable!]
  9. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
  10. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(10), pages 707-716, June. [Downloadable!] (restricted)
    Other versions:
  11. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  12. Husain, Fazal & UPPAL, Jamshed, 1999. "Stock Returns Volatility in an Emerging Market: The Pakistani Evidence," MPRA Paper 5270, University Library of Munich, Germany. [Downloadable!]
  13. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer, vol. 54(4), pages 445-462, December. [Downloadable!] (restricted)
  14. Byström, Hans, 2001. "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers 2001:18, Lund University, Department of Economics.
  15. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics. [Downloadable!]
  16. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
    Other versions:
  17. Amilon, Henrik & Byström, Hans, 1998. "The Search for Chaos and Nonlinearities in Swedish Stock Index Returns," Working Papers 1998:6, Lund University, Department of Economics. [Downloadable!]
  18. Avouyi-Dovi, S. & Jondeau, E. & Lai Tong, C., 1997. "Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5," Documents de Travail 42, Banque de France. [Downloadable!]
  19. David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 211-223, January. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? IDEAS indexes over 800000 items of research in Economics alone.

This page was last updated on 2010-3-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.