This research aims to examine whether the shocks from common idiosyncratic volatility (CIV) are priced in emerging markets, especially in Southeast Asia. We estimate idiosyncratic volatility employing an exponential generalized autoregressive conditional heteroskedasticity (GARCH) method to provide control for time-varying behaviour. Furthermore, we construct the CIV from the average of the monthly expected idiosyncratic volatility across the firms in our sample. After that, a 60-month rolling regression is conducted to estimate the CIV-beta to form a quintiles portfolio that is sorted by CIV-beta. This study found that there is no significant result for the CIV-beta investment strategy (long in highest CIV-beta and short in lowest CIV-beta...
This study provides a comprehensive investigation into the role of both total volatility (TV) and id...
This paper examines the contemporaneous and dynamic relationships among trading volumes, stock retur...
In this research we investigated monthly excess returns in six emerging Asian stock markets i.e Indi...
This research aims to examine a factor structure in idiosyncratic volatility and how the shock from ...
This thesis focuses on the Malaysian stock market, investigating return predictability and the time ...
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inco...
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inco...
A b s t r a c t I examine the properties and portfolio management implications of value-weighted idi...
We study idiosyncratic volatility in the Vietnamese stock market between July 2007 and February 2015...
This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the dai...
This study aims to model and forecast the stock index volatility in ASEAN-5 countries. In addition, ...
This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to t...
We empirically examine the risk-return trade-off in a liberalized emerging stock market: Vietnam dur...
Recent studies suggest an increasing trend in return idiosyncratic volatility and a 'puzzling' negat...
This paper examines stock returns volatility in the Pakistani equity market. Using daily stock price...
This study provides a comprehensive investigation into the role of both total volatility (TV) and id...
This paper examines the contemporaneous and dynamic relationships among trading volumes, stock retur...
In this research we investigated monthly excess returns in six emerging Asian stock markets i.e Indi...
This research aims to examine a factor structure in idiosyncratic volatility and how the shock from ...
This thesis focuses on the Malaysian stock market, investigating return predictability and the time ...
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inco...
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inco...
A b s t r a c t I examine the properties and portfolio management implications of value-weighted idi...
We study idiosyncratic volatility in the Vietnamese stock market between July 2007 and February 2015...
This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the dai...
This study aims to model and forecast the stock index volatility in ASEAN-5 countries. In addition, ...
This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to t...
We empirically examine the risk-return trade-off in a liberalized emerging stock market: Vietnam dur...
Recent studies suggest an increasing trend in return idiosyncratic volatility and a 'puzzling' negat...
This paper examines stock returns volatility in the Pakistani equity market. Using daily stock price...
This study provides a comprehensive investigation into the role of both total volatility (TV) and id...
This paper examines the contemporaneous and dynamic relationships among trading volumes, stock retur...
In this research we investigated monthly excess returns in six emerging Asian stock markets i.e Indi...