| 題名: | Stock Returns and Volatility in Emerging Stock Markets |
| 作者: | Jaeun Shin |
| 關鍵字: | emerging markets|stock returns|volatility|semiparametric GARCH |
| 期刊名/會議名稱: | international journal of business and economics |
| 摘要: | Both parametric and semiparametric GARCH in mean estimations find a positive but insignificant relationship between expected stock returns and volatility in emerging stock markets. The 1997–1998 global emerging market crisis seems to induce changes in GARCH parameters. |
| ISSN: | issn16070704 |
| 日期: | 2005/04/01 |
| 分類: | Volume04,No.1 |
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