Modelling return and conditional volatility exposures in the downside framework for new tech and media stocks on the Warsaw Stock Exchange

Lesław Markowski
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Lesław Markowski: Uniwersytet Warmińsko-Mazurski w Olsztynie

Collegium of Economic Analysis Annals, 2015, issue 36, 391-402

Abstract: This paper empirically models conditional volatility exposures for daily return of tech stocks quoted on the Warsaw Stock Exchange. For this purpose a Factor-ARCH type process has been adopted where the exposure of stock volatility to the main index (WIG) volatility is estimated by means of the variance equation. All analyses were made in the downside and standard asset pricing frameworks. This article provides evidence that conditional volatilities of return on stock have a statistically significant contemporaneous association with the index volatility, particularly in the downside framework. For the entire period only the downside volatility beta is priced. This measure may be the potential risk factor in asset pricing.

Keywords: conditional volatility; downside risk; volatility beta (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:annals:i:36:y:2015:p:391-402

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