'Leverage Effect' in country betas and volatilities?

Alina Synyavska and Numan Ülkü

Applied Economics Letters, 2015, vol. 22, issue 11, 848-853

Abstract: Leverage effect hypothesis predicts past returns to have a negative effect on equity riskiness. We document a surprising pattern: the effect of past returns on country index betas and volatilities turns into positive as past-return horizon is extended. Past 60-month returns have a significant positive effect, which provides a direct means of ruling out leverage hypothesis as an explanation of asymmetric volatility. The positive effect of distant-past returns is puzzling. It appears to be due to mean reversion in stock indexes and international investors' trading patterns consistent with mean reversion.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2014.982849 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:11:p:848-853

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2014.982849

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().