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The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market

Author

Listed:
  • Satoshi Sakamaki

    (Chief Manager, Asset Management Division, Mitsubishi UFJ Trust and Banking Corporation)

Abstract

No abstract is available for this item.

Suggested Citation

  • Satoshi Sakamaki, 2013. "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 531-552, September.
    • Handle: RePEc:mof:journl:ppr022d
    as

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    File URL: http://warp.da.ndl.go.jp/info:ndljp/pid/11217434/www.mof.go.jp/english/pri/publication/pp_review/ppr022/ppr022d.pdf
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    References listed on IDEAS

    as
    1. Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, vol. 96(3), pages 364-380, June.
    2. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    3. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
    4. Zhanhui Chen & Ralitsa Petkova, 2012. "Does Idiosyncratic Volatility Proxy for Risk Exposure?," The Review of Financial Studies, Society for Financial Studies, vol. 25(9), pages 2745-2787.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    volatility effects; downside risks; upside risks; average individual securities variance; average correlation coefficient; volatility decomposition;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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