Stock Returns and Volatility
Benjamin Tabak () and
No 54, Working Papers Series from Central Bank of Brazil, Research Department
This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series for Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the "leverage effect" seems to hold for Brazilian stocks as shown by the results from an AR (1)-EGARCH (1,1) estimation.
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:54
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