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

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dc.contributor Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi sv
dc.contributor Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance en
dc.contributor.author Maukonen, Marko S
dc.date.accessioned 2011-03-02T13:21:55Z
dc.date.available 2011-03-02T13:21:55Z
dc.date.issued 2004-08-17
dc.identifier.isbn 951-555-840-9
dc.identifier.uri http://hdl.handle.net/10227/102
dc.identifier.uri URN:ISBN:951-555-840-9
dc.description.abstract 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. fi
dc.format.extent 1837 bytes
dc.format.extent 330840 bytes
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Swedish School of Economics and Business Administration en
dc.relation.ispartofseries Economics and Society
dc.relation.ispartofseries 130
dc.rights Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. sv
dc.rights This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. en
dc.rights Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. fi
dc.subject volatility forecasting fi
dc.subject idiosyncratic volatility fi
dc.subject idiosyncratic risk fi
dc.subject.other Finance fi
dc.title Three Essays on the Volatility of Finnish Stock Returns (summary section only) fi
dc.type.ontasot Doctoral thesis en
dc.type.ontasot Väitöskirja fi
dc.type.ontasot Doktorsavhandling sv
dc.type.dcmitype Text
dc.date.accepted 2004-08-27

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