- Title
- Asymmetric volatility in emerging south Asian equity markets
- Creator
- Shamsuddin, Abul
- Relation
- 36th Annual Meeting of the Federation of Business Disciplines. Southwestern Finance Association Proceedings 2009 (Oklahoma City, OK 24-28 February, 2009)
- Relation
- http://www.fbdonline.org
- Publisher
- Federation of Business Disciplines
- Resource Type
- conference paper
- Date
- 2009
- Description
- This paper provides evidence in support of the short-horizon return predictability and asymmetric volatility in the South Asian markets (Bangladesh, India, Pakistan and Sri Lanka). The degree of return predictability appears to be inversely associated with market liquidity. Stock index returns respond symmetrically to past negative and positive returns in all but the Bangladesh equity market. In contrast, the conditional volatility responds asymmetrically to bad and good news in all but the Bangladesh equity market. The conditional volatility is persistent but mean-reverting in all markets. There is no intertemporal trade-off between volatility and return, implying that the observed asymmetry in volatility may be attributed to the leverage effect rather than the volatility feedback effect. This study has implications for weak-form market efficiency and volatility forecasting, which is useful in determining the cost of capital, option prices, hedge ratios and optimal portfolios.
- Subject
- asymmetric volatility; return predictability; South Asian stock markets
- Identifier
- http://hdl.handle.net/1959.13/919341
- Identifier
- uon:8837
- Language
- eng
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