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
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.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
