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Type: Artigo
Title: Stock returns and volatility: the Brazilian case*
Authors: Tabak, Benjamin Miranda
Guerra Medeiros, Solange
Abstract: This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.
Keywords: stock returns
Seemingly Unrelated Regressions
Citation: TABAK, Benjamin M.; GUERRA, Solange M.. Stock returns and volatility: the Brazilian case. Econ. Apl., Ribeirão Preto, v. 11, n. 3, Sept. 2007
Access Type: Acesso Aberto
Document date: 2007
Appears in Collections:PPG - Revistas e Artigos Científicos

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