Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models

Ali F. Darrat, Otis W. Gilley, Bin Li and Yanhui Wu

Journal of Business Research, 2011, vol. 64, issue 2, 199-206

Abstract: This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results significantly vary across model specifications, the overall evidence from GARCH models supports a significantly positive risk/return relation in several markets but only prior to the Asian financial crisis. These results accord with Glosten et al. (1993) and Harvey (2001) and suggest that the relative risk aversion is sensitive to both model specifications and structural breaks.

Keywords: Relative; risk; aversion; Structural; breaks; Asian; Pacific; markets (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:64:y:2011:i:2:p:199-206

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