본문 바로가기
HOME> 논문 > 논문 검색상세

논문 상세정보

기대수익률과 주가변동성의 관계 연구
A Study on the Relationship between expected stock return and volatility

고광수    (한국증권경제연구원  );
  • 초록

    There have been many studies concerning the relationships between stock returns and volatilities. Their positive relationship is well known from the theoretical point of view, but not empirically shown. Franch, Schwert and Stambaugh [11] has empirically provided the indirect evidence of the positive relationship betwen expected stock return and expected volatility. However, their study lacks some statistical validity. This study reexamines the relationship using regression diagnostics and GARCH model from an international point of view. The empirical results fall to show the positive relationship between expected stock return and expected volaiility, which contradicts those of France, Schwert and Stambangh [1].


  • 참고문헌 (22)

    1. Belsley, D. A.;E. Kuh;R. E. Welsch , Regression Diagnostics :Indentifying Data and Sources of Collinearity / v.,pp.,
    2. Autoreressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation , Engle, Robert, F. , Econometrica / v.50,pp.987-1008,
    3. Margin Regulation and Stock Market Volatility , Hsieh, D.A.;M.H. Miller , Journal of Finance / v.45,pp.3-30,
    4. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , White Halbert , Econometrica / v.48,pp.817-830,
    5. The Persistence of Volatility and Stock Market Fluctuations , Poterba, J.M.;L.H. Summers , American Economic Review / v.76,pp.1142-1151,
    6. S&P 500 Cash Stock Volatilities , Harris, L. , Journal of Finance / v.44,pp.1155-1176,
    7. Nonstationary Expected Returns : Implications for Tsts of Market Efficiency and Serial Correlations in Returns , Ball, Ray;S.P. Kothari , Journal of Financial Economics / v.25,pp.51-74,
    8. Expected Returns and Stock Market Volatility , French, K.R.;G.W. Schwert;R.F. Stambaugh , Journal of Financial Economics / v.19,pp.3-30,
    9. Time-Variation in Expected Returns , Conard, J.;G. Kaul , Journal of Business / v.61,pp.409-425,
    10. Time Variation of Economic Risk Premiums , Ferson, W. E.;C.R. Harvey , Working paper, Unicersity of Chicago and Duke University / v.,pp.,
    11. Why Does Stock Market Volatility Change over Time? , Schwert, G.W. , Journal of Finance / v.44,pp.1115-1153,
    12. Levi, M.;Elroy Dimson(Ed.) , Weekend effects in Stock Market Returns : An Overview , in Stock Market Anomalies / v.,pp.43-51,
    13. Mean Reversion in Stock Prices : Evidence and Implications , Poterba, J.M.;L.H. Summers , Journal of Financial Economics / v.22,pp.27-59,
    14. Generalized Autoregressive Conditional Heteroscedasticity , Bollerslev, Tim , Journal of Econmetrics / v.31,pp.307-328,
    15. Business Conditions and Expected Returns on Stocks and Bonds , Fama, E.F.;K.R. French , Working paper #220, University of Chicago / v.,pp.,
    16. A Statistical Paradox , Lindley, D.V. , Biometrica / v.,pp.187-192,
    17. Emerging Equity Market Volatility , Bekaert, Geert;C. R. Harvey , Journal of Financial Economics / v.,pp.29-97,
    18. Changes in Expected Security Returns , Risk, and the Level of Interest Rates , Ferson, W.E. , Journal of Finance / v.44,pp.1191-1218,
    19. Time-Varying Volatilities and Stock Market Returns: International Evidence , Lee, Sang-Bin;Ki-Yool Ohk , Pacific-Basin Capital Market Research / v.II,pp.,
    20. Permanent and Temporary Components of Stock Prices , Fama, E.F.;K.R. French , Journal of Political Economy / v.96,pp.246-273,
    21. On Estimating the Expercted Returnon the Market : An Exploratory Investigation , Merton, Robert C. , Journal of Financial Economics / v.8,pp.323-361,
    22. The Complementary Use of Regressing Diagnostics and Robust Extimators , Gibbons, D.I.;G.C. McDonald , Naval Research Logisgics / v.34,pp.109-131,
  • 이 논문을 인용한 문헌 (1)

    1. 2003. "An Analysis for the Adjustment Process of Market Variations by the Formulation of Time tag Structure" 응용통계연구 = The Korean journal of applied statistics, 16(1): 87~100     

 활용도 분석

  • 상세보기

    amChart 영역
  • 원문보기

    amChart 영역

원문보기

무료다운로드
  • NDSL :
  • 한국경영과학회 : 저널
유료다운로드

유료 다운로드의 경우 해당 사이트의 정책에 따라 신규 회원가입, 로그인, 유료 구매 등이 필요할 수 있습니다. 해당 사이트에서 발생하는 귀하의 모든 정보활동은 NDSL의 서비스 정책과 무관합니다.

원문복사신청을 하시면, 일부 해외 인쇄학술지의 경우 외국학술지지원센터(FRIC)에서
무료 원문복사 서비스를 제공합니다.

NDSL에서는 해당 원문을 복사서비스하고 있습니다. 위의 원문복사신청 또는 장바구니 담기를 통하여 원문복사서비스 이용이 가능합니다.

이 논문과 함께 출판된 논문 + 더보기