DHanken: Logga in

Three Essays on the Volatility of Finnish Stock Returns (summary section only)

Visa fullständig post

Filer under denna titel

Filer Storlek Format Granska/Öppna
130-951-555-840-9.pdf 330.8Kb PDF Granska/Öppna
Använd denna länk för att citera eller länka till detta dokument: http://hdl.handle.net/10227/102
Titel: Three Essays on the Volatility of Finnish Stock Returns (summary section only)
Author: Maukonen, Marko S
Medarbetare: Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi
Nivå: Doktorsavhandling
Tillhör serie: Economics and Society - 130
ISBN: 951-555-840-9
Abstrakt: First, in Essay 1, we test whether it is possible to forecast Finnish Options Index return volatility by examining the out-of-sample predictive ability of several common volatility models with alternative well-known methods; and find additional evidence for the predictability of volatility and for the superiority of the more complicated models over the simpler ones.

Secondly, in Essay 2, the aggregated volatility of stocks listed on the Helsinki Stock Exchange is decomposed into a market, industry-and firm-level component, and it is found that firm-level (i.e., idiosyncratic) volatility has increased in time, is more substantial than the two former, predicts GDP growth, moves countercyclically and as well as the other components is persistent.

Thirdly, in Essay 3, we are among the first in the literature to seek for firm-specific determinants of idiosyncratic volatility in a multivariate setting, and find for the cross-section of stocks listed on the Helsinki Stock Exchange that industrial focus, trading volume, and block ownership, are positively associated with idiosyncratic volatility estimates––obtained from both the CAPM and the Fama and French three-factor model with local and international benchmark portfolios––whereas a negative relation holds between firm age as well as size and idiosyncratic volatility.
Permanenta länken (URI): http://hdl.handle.net/10227/102
URN:ISBN:951-555-840-9
Datum: 2004-08-17
Copyright information: Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden.
Detta dokument registreras i samling:

Visa fullständig post

Sök i Helda


Avancerad Sökning

Bläddra

Aktivitet