Earticle

초록

영어

This study considers component GARCH model to decompose the stock return volatility into permanent and transitory component and compute the firm’s the ratio of permanent component of volatility to total volatility. With this ratio as a dependent variable and the firm-characteristic variables as explanatory variables, we use the linear multivariate regression analysis to capture the features of 100 constituent and outside firms of the S&P 500 index respectively in the US market between April 1998 and April 2002. This study discovers that size and the book-tomarket ratio appear to be important factors explaining the firm’s ratio of permanent component of volatility to total volatility. We find that the firm size is negatively related while the book-to-market ratio of the firm is positively related to the permanent component of volatility out of total volatility of the firm’s stock return.

목차

Abstract
 I. Introduction
 II. Literature
  Component-GARCH Model
 III. Data
  Data
  Market condition during the sample period
 IV. Methodology
  Component GARCH estimation
  Calculation of the ratio of permanent component variance to total variance
  Specification
 V. Results
  Component GARCH Estimation Result
  Ratio of permanent component conditional variance to total conditional variance
  Regression Result
 VI. Summary and conclusion
 Reference

저자

• Hyo-young Lee
• Jin-wan Cho

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330