International Journal of Business and Economics Volume 4, No. 1 April​, 2005

Stock Returns and Volatility in Emerging Stock Markets

Jaeun Shin

KDI School of Public Policy and Management, Korea

Abstract

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.

Keywords：emerging markets, stock returns, volatility, semiparametric GARCH.

JEL Classifications： G12, G15, C14.

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