$\require{mediawiki-texvc}$
  • 검색어에 아래의 연산자를 사용하시면 더 정확한 검색결과를 얻을 수 있습니다.
  • 검색연산자
검색연산자 기능 검색시 예
() 우선순위가 가장 높은 연산자 예1) (나노 (기계 | machine))
공백 두 개의 검색어(식)을 모두 포함하고 있는 문서 검색 예1) (나노 기계)
예2) 나노 장영실
| 두 개의 검색어(식) 중 하나 이상 포함하고 있는 문서 검색 예1) (줄기세포 | 면역)
예2) 줄기세포 | 장영실
! NOT 이후에 있는 검색어가 포함된 문서는 제외 예1) (황금 !백금)
예2) !image
* 검색어의 *란에 0개 이상의 임의의 문자가 포함된 문서 검색 예) semi*
"" 따옴표 내의 구문과 완전히 일치하는 문서만 검색 예) "Transform and Quantization"
쳇봇 이모티콘
안녕하세요!
ScienceON 챗봇입니다.
궁금한 것은 저에게 물어봐주세요.

논문 상세정보

기대수익률과 주가변동성의 관계 연구

A Study on the Relationship between expected stock return and volatility

Abstract

There have been many studies concerning the relationships between stock returns and volatilities. Their positive relationship is well known from the theoretical point of view, but not empirically shown. Franch, Schwert and Stambaugh [11] has empirically provided the indirect evidence of the positive relationship betwen expected stock return and expected volatility. However, their study lacks some statistical validity. This study reexamines the relationship using regression diagnostics and GARCH model from an international point of view. The empirical results fall to show the positive relationship between expected stock return and expected volaiility, which contradicts those of France, Schwert and Stambangh [1].

참고문헌 (22)

  1. Belsley, D. A.;E. Kuh;R. E. Welsch , Regression Diagnostics :Indentifying Data and Sources of Collinearity / v.,pp., 1980
  2. Autoreressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation , Engle, Robert, F. , Econometrica / v.50,pp.987-1008, 1982
  3. Margin Regulation and Stock Market Volatility , Hsieh, D.A.;M.H. Miller , Journal of Finance / v.45,pp.3-30, 1990
  4. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , White Halbert , Econometrica / v.48,pp.817-830, 1980
  5. The Persistence of Volatility and Stock Market Fluctuations , Poterba, J.M.;L.H. Summers , American Economic Review / v.76,pp.1142-1151, 1986
  6. S&P 500 Cash Stock Volatilities , Harris, L. , Journal of Finance / v.44,pp.1155-1176, 1989
  7. Nonstationary Expected Returns : Implications for Tsts of Market Efficiency and Serial Correlations in Returns , Ball, Ray;S.P. Kothari , Journal of Financial Economics / v.25,pp.51-74, 1989
  8. Expected Returns and Stock Market Volatility , French, K.R.;G.W. Schwert;R.F. Stambaugh , Journal of Financial Economics / v.19,pp.3-30, 1987
  9. Time-Variation in Expected Returns , Conard, J.;G. Kaul , Journal of Business / v.61,pp.409-425, 1988
  10. Time Variation of Economic Risk Premiums , Ferson, W. E.;C.R. Harvey , Working paper, Unicersity of Chicago and Duke University / v.,pp., 1989
  11. Why Does Stock Market Volatility Change over Time? , Schwert, G.W. , Journal of Finance / v.44,pp.1115-1153, 1989
  12. Levi, M.;Elroy Dimson(Ed.) , Weekend effects in Stock Market Returns : An Overview , in Stock Market Anomalies / v.,pp.43-51, 1988
  13. Mean Reversion in Stock Prices : Evidence and Implications , Poterba, J.M.;L.H. Summers , Journal of Financial Economics / v.22,pp.27-59, 1988
  14. Generalized Autoregressive Conditional Heteroscedasticity , Bollerslev, Tim , Journal of Econmetrics / v.31,pp.307-328, 1986
  15. Business Conditions and Expected Returns on Stocks and Bonds , Fama, E.F.;K.R. French , Working paper #220, University of Chicago / v.,pp., 1989
  16. A Statistical Paradox , Lindley, D.V. , Biometrica / v.,pp.187-192, 1957
  17. Emerging Equity Market Volatility , Bekaert, Geert;C. R. Harvey , Journal of Financial Economics / v.,pp.29-97, 1997
  18. Changes in Expected Security Returns , Risk, and the Level of Interest Rates , Ferson, W.E. , Journal of Finance / v.44,pp.1191-1218, 1989
  19. Time-Varying Volatilities and Stock Market Returns: International Evidence , Lee, Sang-Bin;Ki-Yool Ohk , Pacific-Basin Capital Market Research / v.II,pp., 1990
  20. Permanent and Temporary Components of Stock Prices , Fama, E.F.;K.R. French , Journal of Political Economy / v.96,pp.246-273, 1988
  21. On Estimating the Expercted Returnon the Market : An Exploratory Investigation , Merton, Robert C. , Journal of Financial Economics / v.8,pp.323-361, 1980
  22. The Complementary Use of Regressing Diagnostics and Robust Extimators , Gibbons, D.I.;G.C. McDonald , Naval Research Logisgics / v.34,pp.109-131, 1987

이 논문을 인용한 문헌 (1)

  1. 2003. "An Analysis for the Adjustment Process of Market Variations by the Formulation of Time tag Structure" 응용통계연구 = The Korean journal of applied statistics, 16(1): 87~100 

원문보기

원문 PDF 다운로드

  • ScienceON :

원문 URL 링크

원문 PDF 파일 및 링크정보가 존재하지 않을 경우 KISTI DDS 시스템에서 제공하는 원문복사서비스를 사용할 수 있습니다. (원문복사서비스 안내 바로 가기)

상세조회 0건 원문조회 0건

DOI 인용 스타일