An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market

Godwin Olasehinde-Williams

Journal of International Business Research and Marketing, 2018, vol. 3, issue 5, 7-11

Abstract: Financial theory suggests that volatility affects average stock returns positively. It is claimed that markets reward economic agents for the risk they assume with higher returns. This study uses an ARMA (1, 2)-GARCH (1, 1)-M technique to examine the impact of volatility on BRVM stock returns in the integrated regional West African stock market. A positive but insignificant relationship was found between volatility and stock returns. The study concludes that there is no significant feedback from volatility to average returns in the stock market. Our findings indicate that investors are not compensated for taking risks in the regional stock market.

Keywords: GARCH-M; ARMA; BRVM; WAEMU; Risk-returns trade-off; Volatility (search for similar items in EconPapers)
JEL-codes: M00 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:mgs:jibrme:v:3:y:2018:i:5:p:7-11

DOI: 10.18775/jibrm.1849-8558.2015.35.3001

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