Volatility Clustering within Industries:An Empirical Investigation

Manfen W. Chen and Jianzhou Zhu
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Manfen W. Chen: University of Southern Indiana
Jianzhou Zhu: University of Wisconsin-Whitewater

American Journal of Business, 2007, vol. 22, issue 2, pages 33-43

Abstract: This paper examines the clustering of return volatility within industries by comparing the short-run responses of stock returns to the arrival of macroeconomic news across several industries. We hypothesize that some industries have distinctive qualities which influence the sensitivity of companiesÆ equity value to information releases. To test this hypothesis, we sample intraday stock price data of ten firms from three industries û General Industry, Banking, and Real Estate Trusts û and conduct the Brown-Forsythe-Modified Levene tests. The evidence shows that there exist different degrees of responses to the release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General Industry, less strong in Banking, and weak in Real Estate Investment Trusts.

Keywords: Information and market efficiency; macroeconomic news; volatility clustering (search for similar items in EconPapers)
JEL-codes: R00 Z0 (search for similar items in EconPapers)
Date: 2007

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Persistent link: http://EconPapers.repec.org/RePEc:maj:ancoec:v:22:y:2007:i:2:p:33-43

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