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| Volume 4, No. 1,
April 2005
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Stock Returns and Volatility in
Emerging Stock Markets |
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Jaeun Shin |
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KDI School of Public
Policy and Management, Korea |
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| Abstract |
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Both parametric and
semiparametric GARCH in mean estimations find a positive but
insignificant relationship between expected stock returns and
volatility in emerging stock markets. The 1997–1998 global emerging
market crisis seems to induce changes in GARCH parameters. |
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Key words:
emerging
markets; stock returns; volatility; semiparametric GARCH |
| JEL
classification:
G12; G15; C14 |
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