Positive IVOL-MAX effect: A study on the Singapore Stock Market

Syed Riaz Mahmood Ali, M Arifur Rahman, Mohammad Nurul Hasan and Ralf Östermark

The North American Journal of Economics and Finance, 2020, vol. 54, issue C

Abstract: This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.

Keywords: Singapore Stock Market; Idiosyncratic volatility; Extreme return; MAX ans IVOL effect (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:54:y:2020:i:c:s106294082030142x

DOI: 10.1016/j.najef.2020.101245

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