IDEAS home Printed from https://ideas.repec.org/a/taf/glecrv/v44y2015i1p74-100.html
   My bibliography  Save this article

Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective

Author

Listed:
  • Pei Pei Tan
  • Don U.A. Galagedera

Abstract

Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990-2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL - a plausible reason is high correlation between firms' returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.

Suggested Citation

  • Pei Pei Tan & Don U.A. Galagedera, 2015. "Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective," Global Economic Review, Taylor & Francis Journals, vol. 44(1), pages 74-100, March.
    • Handle: RePEc:taf:glecrv:v:44:y:2015:i:1:p:74-100
    DOI: 10.1080/1226508X.2015.956404
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1226508X.2015.956404
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1226508X.2015.956404?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.

    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:glecrv:v:44:y:2015:i:1:p:74-100. 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/RGER20 .

    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.