Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)

Positive IVOL-MAX effect: A study on the Singapore Stock Market




Julkaisun tekijät: Syed Riaz Mahmood Ali, M Arifur Rahman, Mohammad Nurul Hasan, Ralf Östermark

Julkaisuvuosi: 2020

Journal: North American Journal of Economics and Finance

DOI: http://dx.doi.org/https://doi.org/10.1016/j.najef.2020.101245

Verkko-osoite: https://www.sciencedirect.com/science/article/abs/pii/S106294082030142X?dgcid=rss_sd_all


Tiivistelmä

This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market
meaning that the highly volatile stocks are showing better returns in the subsequent month. More
explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL)
and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is
stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL
effect is insignificant. In addition, this paper shows that the relationship between maximum daily
return over a month (MAX) and the subsequent month’s return is positive and significant in this
market. However, IVOL is the true effect of this market rather than MAX.


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Last updated on 2021-24-06 at 10:11