Stock Returns and Volatility in Emerging Stock Markets

Jaeun Shin
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Jaeun Shin: KDI School of Public Policy and Management, Korea

International Journal of Business and Economics, 2005, vol. 4, issue 1, 31-43

Abstract: Both parametric and semiparametric GARCH in mean estimations find a positive but insignificant relationship between expected stock returns and volatility in emerging stock markets. The 1997¡V1998 global emerging market crisis seems to induce changes in GARCH parameters.

Keywords: emerging markets; stock returns; volatility; semiparametric GARCH (search for similar items in EconPapers)
JEL-codes: C14 G12 G15 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (28)

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