Total Volatility

Nusret Cakici and Kudret Topyan

Chapter Chapter 5 in Risk and Return in Asian Emerging Markets, 2014, pp 59-71 from Palgrave Macmillan

Abstract: Abstract Total volatility or standard deviation is a frequently used risk related attribute. It is well-known that total volatility is important for securities held in isolation, therefore is irrelevant for stocks included in well-diversified portfolios. Standard deviation measures the total risk that includes market risk as well as firm specific risk and it is therefore quite important for the researchers who would like to study those components separately as well as together. While it is common to assume that sensible investors diversify therefore standard deviation or total volatility is not of much help in evaluating the return predictability, the information contained in total volatility is still important. For instance, the relationship between the beta and the standard deviation highlights that, β i = ρ σ i / σ m ]]

Keywords: Monthly Return; Large Stock; Financial Firm; Small Stock; Return Difference (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35907-0_5

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DOI: 10.1057/9781137359070_5

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