EconPapers    
Economics at your fingertips  
 

Asymmetric Volatility and Risk in Equity Markets

Geert Bekaert () and Guojun Wu

Review of Financial Studies, 2000, vol. 13, issue 1, 1-42

Abstract: It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the asymmetry: leverage effects and volatility feedback. Our empirical application uses the market portfolio and portfolios with different leverage constructed from Nikkei 225 stocks. We reject the pure leverage model of Christie (1982) and find support for a volatility feedback story. Volatility feedback at the firm level is enhanced by strong asymmetries in conditional covariances. Conditional betas do not show significant asymmetries. We document the risk premium implications of these findings. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

Date: 2000
References: Add references at CitEc
Citations View citations in EconPapers (397) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Asymmetric Volatility and Risk in Equity Markets (1997) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:oup:rfinst:v:13:y:2000:i:1:p:1-42

Ordering information: This journal article can be ordered from
http://www4.oup.co.uk/revfin/subinfo/

Access Statistics for this article

Review of Financial Studies is currently edited by Maureen O'Hara

More articles in Review of Financial Studies from Society for Financial Studies Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.. Contact information at EDIRC.
Series data maintained by Oxford University Press ().

 
Page updated 2017-09-07
Handle: RePEc:oup:rfinst:v:13:y:2000:i:1:p:1-42