Stock returns and volatility: the Brazilian case
DOI:
https://doi.org/10.1590/S1413-80502007000300001Keywords:
stock returns, volatility, Seemingly Unrelated Regressions, EGARCHAbstract
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 of 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 asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.Downloads
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Published
2007-09-01
Issue
Section
Papers
How to Cite
Tabak, B. M., & Guerra, S. M. (2007). Stock returns and volatility: the Brazilian case. Economia Aplicada, 11(3), 329-346. https://doi.org/10.1590/S1413-80502007000300001