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Further evidence for the negative relationship between stock returns and volatility

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  • Jeong-Ryeol Kurz-Kim

Abstract

Using a simple autoregression with exogenous variables (and its transformed error-correction model), we investigate relationships between realized return and risk measured by realized volatility. The empirical results obtained from analysing the German Stock Index (DAX) and the Dow Jones Index (DJ) show a negative relationship between the realized return and risk and also between changes of the realized return and risk for both monthly and quarterly frequencies. There is also some weak evidence of a negative impact of large volatility on changes of the return that can be detected.

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  • Jeong-Ryeol Kurz-Kim, 2009. "Further evidence for the negative relationship between stock returns and volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 16(13), pages 1295-1300.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:13:p:1295-1300
    DOI: 10.1080/17446540802481854
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    Cited by:

    1. Kurz, Claudia & Kurz-Kim, Jeong-Ryeol, 2013. "What determines the dynamics of absolute excess returns on stock markets?," Economics Letters, Elsevier, vol. 118(2), pages 342-346.

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