Stock return volatility and the internet phenomenon

Virginia Liu, Francis Tapon () and Yiguo Sun ()

Applied Financial Economics Letters, 2006, vol. 2, issue 2, pages 105-109

Abstract: This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?’1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also employed with an additional regressor (the market return) to observe the trend of time-varying betas.

View list of references

Downloads: (external link)
http://taylorandfrancis.metapress.com/link.asp?tar ... &id=WM10317775M523T5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.tandf.co. ... /titles/17446546.asp

Access Statistics for this article

Applied Financial Economics Letters is edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().