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Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models

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  • Darrat, Ali F.
  • Gilley, Otis W.
  • Li, Bin
  • Wu, Yanhui
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    Abstract

    This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results significantly vary across model specifications, the overall evidence from GARCH models supports a significantly positive risk/return relation in several markets but only prior to the Asian financial crisis. These results accord with Glosten et al. (1993) and Harvey (2001) and suggest that the relative risk aversion is sensitive to both model specifications and structural breaks.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Business Research.

    Volume (Year): 64 (2011)
    Issue (Month): 2 (February)
    Pages: 199-206

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    Handle: RePEc:eee:jbrese:v:64:y:2011:i:2:p:199-206

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    Web page: http://www.elsevier.com/locate/jbusres

    Related research

    Keywords: Relative risk aversion Structural breaks Asian Pacific markets;

    References

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