Journal article
Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data
Global finance journal, v 10(2), pp 187-200
1999
Abstract
This paper tests the relation between stock excess returns and risk factors measured by volatility. The sources of the volatility are based on the volatility of macroeconomic factors and time-series volatility. To model the macroeconomic fundamentals, we divide the risk into real and financial volatilities pertinent to Taiwan's economic environment. By examining the data of indusry excess returns and market excess returns, we find evidence to reject the hypothesis that the stock excess returns are independent of the real and financial volatilities.
Metrics
8 Record Views
3 citations in Scopus
Details
- Title
- Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data
- Creators
- Thomas C. Chiang - Drexel UniversityShuh-Chyi Doong - Feng Chia University
- Publication Details
- Global finance journal, v 10(2), pp 187-200
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Scopus ID
- 2-s2.0-0033193960
- Other Identifier
- 991019174738704721