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Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets
16 references·16 citing·22 second hopsampled
Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets (1998)Asymmetries in the Conditional Mean and t…The variation of certain speculative prices (1997)The variation of certain spec…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Limited-dependent and qualitative variables in econometrics (1983)Limited-dependent and qualita…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Does corporate social responsibility affect cost of capital in China? (2019)Does corporate social respons…The asymmetric return-volatility relationship of commodity prices (2018)The asymmetric return-volatil…Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey (2018)Asymmetric effects of industr…Trading volume and volatility in the shipping forward freight market (2012)Trading volume and volatility…A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations (2012)A review of the international…Intraday Seasonalities and Macroeconomic News Announcements (2009)Intraday Seasonalities and Ma…The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases (2008)The effect of monetary policy…Emerging Equity Market Volatility (2005)Emerging Equity Market Volati…The price-volume relationship in the sale and purchase market for dry bulk vessels (2003)The price-volume relationship…First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns (2003)First‐ and Second‐Moment Exch…Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003)Asymmetrical reaction to US s…Interest Rate Surprises and Stock Prices (2002)Interest Rate Surprises and S…Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach (2002)Asymmetric mean-reversion and…Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction (2001)Asymmetric reverting behavior…The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets (2000)The Impact of Financial Liber…Asymmetric Effects of Interest Rate Changes on Stock Prices (2000)Asymmetric Effects of Interes…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Multifactor Explanations of Asset Pricing Anomalies (1996)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Does Foreign Direct Investment Increase the Productivity of Domestic Firms? In Search of Spillovers Through Backward Linkages (2004)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1983Limited-dependent and qualitative variables in econometrics13,257 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects

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2,382 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • Cited by

    • 2019Does corporate social responsibility affect cost of capital in China?115 cited
    • 2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model110 cited
    • 2001Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction108 cited
    • 2000Asymmetric Effects of Interest Rate Changes on Stock Prices100 cited
    • 2009Intraday Seasonalities and Macroeconomic News Announcements89 cited
    • 2000The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets82 cited
    • 2012Trading volume and volatility in the shipping forward freight market72 cited
    • 2008The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases67 cited
    • 2012A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations65 cited
    • 2002Interest Rate Surprises and Stock Prices62 cited
    • 2018The asymmetric return-volatility relationship of commodity prices62 cited
    • 2002Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach60 cited
    • 2003First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns49 cited
    • 2003The price-volume relationship in the sale and purchase market for dry bulk vessels49 cited
    • 2005Emerging Equity Market Volatility49 cited
    • 2018Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey46 cited