Volatility, Leverage and Firm Size: The U.K. Evidence
The 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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Volume (Year): 64 (1996)
Issue (Month): 0 (Suppl.)
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