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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
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emerging markets; stock returns;
volatility; semiparametric GARCH
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JEL classification
:
G12;
G15; C14
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