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Stock returns and volatility: An empirical study of the UK stock market · Study

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ArticleStock returns and volatility: An empirical study of the UK stock market

Ser‐Huang Poon1992

Article1992

Stock returns and volatility: An empirical study of the UK stock market

Ser‐Huang Poon · Stephen J. Taylor

200 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987Expected stock returns and volatility 1988A Capital Asset Pricing Model with Time-Varying Covariances

Cited by

2002The stochastic volatility in mean model: empirical evidence from international stock markets 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS 1998Volatility spillovers across equity markets: European evidence 2001STOCK RETURNS AND VOLATILITY ON CHINA'S STOCK MARKETS 2014Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?

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Year1992

Typearticle

Published1992-02-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations200

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0378-4266(92)90077-d

openalex_workW1963830889

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1999The behaviour of some UK equity indices: An application of Hurst and BDS tests

1995Conditional volatility and the informational efficiency of the PHLX currency options market

1998Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets