IDEAS home Printed from https://ideas.repec.org/r/eee/empfin/v14y2007i1p41-58.html
   My bibliography  Save this item

Why are stock returns and volatility negatively correlated?

Citations

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


Cited by:

  1. Sarantis Tsiaplias, 2009. "Examining Feedback, Momentum and Overreaction in National Equity Markets," Melbourne Institute Working Paper Series wp2009n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  2. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
  3. Angeloni, Ignazio & Faia, Ester & Lo Duca, Marco, 2015. "Monetary policy and risk taking," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 285-307.
  4. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
  5. Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
  6. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
  7. N’dri Konan Léon, 2015. "Forecasting Stock Return Volatility: Evidence from the West African Regional Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(6), pages 1-2.
  8. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
  9. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
  10. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  11. Toni Ahnert & Christoph Bertsch, 2022. "A Wake-Up Call Theory of Contagion [Asymmetric business cycles: theory and time-series evidence]," Review of Finance, European Finance Association, vol. 26(4), pages 829-854.
  12. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
  13. Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
  14. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  15. Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  16. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
  17. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
  18. Alina Synyavska & Numan Ülkü, 2015. "'Leverage Effect' in country betas and volatilities?," Applied Economics Letters, Taylor & Francis Journals, vol. 22(11), pages 848-853, July.
  19. Engle, Robert & Mistry, Abhishek, 2014. "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, vol. 182(1), pages 135-144.
  20. Yavas, Burhan F. & Malladi, Rama K., 2020. "Foreign direct investment and financial markets influences: Results from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  21. Alexandra Horobet & Georgiana Vrinceanu & Consuela Popescu & Lucian Belascu, 2019. "Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling," Energies, MDPI, vol. 12(21), pages 1-17, October.
  22. Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming, 2012. "Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 483-496.
  23. Philippe Masset & Martin Wallmeier, 2010. "A High†Frequency Investigation of the Interaction between Volatility and DAX Returns," European Financial Management, European Financial Management Association, vol. 16(3), pages 327-344, June.
  24. Mohd Aminul Islam, 2014. "A Study on the Performance of Symmetric and Asymmetric GARCH Models in Estimating Stock Returns Volatility," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 2(4), pages 182-192.
  25. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
  26. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  27. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
  28. Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, vol. 4(1), pages 1-24, February.
  29. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
  30. Aymen Karoui & Iwan Meier, 2015. "Fund performance and subsequent risk: a study of mutual fund tournaments using holdings-based measures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 1-20, February.
  31. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
  32. Zheng, Dazhi & Li, Huimin & Zhu, Xiaowei, 2015. "Herding behavior in institutional investors: Evidence from China’s stock market," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 59-76.
  33. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
  34. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
  35. Giamouzi, Maria & Nomikos, Nikos K, 2021. "Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
  36. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.