IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v39y2007i15p1905-1919.html
   My bibliography  Save this article

The risk-return relations: evidence from the Korean and Taiwan stock markets

Author

Listed:
  • Gordon Tang
  • Wai Cheong Shum

Abstract

This article examines the risk-return relations conditional on up and down market periods in the Korean and Taiwan stock markets. Based on statistical tests adjusted for the effects of heteroskedasticity and autocorrelation of the residuals, beta is found positively (negatively) related to realized returns in up (down) markets. However, the results are sensitive to portfolio aggregation methods. Its role as a risk measure vanishes in down markets for the two-way (beta-size and size-beta) sorted portfolios. Unsystematic risk is significantly and positively priced only in up markets and mainly for beta-sorted portfolios while total risk is correctly priced except in Taiwan during down markets. Moreover, the impact of skewness and kurtosis on realized returns is not only sensitive to portfolio aggregation methods but also different across stock markets. They are found to be more relevant risk characteristics in the Korean than in the Taiwan stock market.

Suggested Citation

  • Gordon Tang & Wai Cheong Shum, 2007. "The risk-return relations: evidence from the Korean and Taiwan stock markets," Applied Economics, Taylor & Francis Journals, vol. 39(15), pages 1905-1919.
    • Handle: RePEc:taf:applec:v:39:y:2007:i:15:p:1905-1919
    DOI: 10.1080/00036840600690280
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840600690280
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036840600690280?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gurudeo Anand Tularam & Rajibur Reza, 2016. "Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1139437-113, December.
    2. Rutkowska-Ziarko, Anna & Markowski, Lesław & Pyke, Christopher & Amin, Saqib, 2022. "Conventional and downside CAPM: The case of London stock exchange," Global Finance Journal, Elsevier, vol. 54(C).
    3. Roger Strange & Igor Filatotchev & Yung-chih Lien & Jenifer Piesse, 2009. "Insider Control and the FDI Location Decision," Management International Review, Springer, vol. 49(4), pages 433-454, September.
    4. Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011. "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, vol. 22(2), pages 130-153.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:39:y:2007:i:15:p:1905-1919. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.