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A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets
16 references·2 citing·33 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
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  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1997

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Emerging equity market volatility
1,703 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • Cited by

    • 2023Cryptocurrencies against stock market risk: New insights into hedging effectiveness34 cited
    • 2024Market Shocks and Stock Volatility: Evidence from Emerging and Developed Markets32 cited