دانلود مقاله ISI انگلیسی شماره 45630
عنوان فارسی مقاله

تاثیر بحران مالی بر معاوضه ریسک بازده و اثر اهرم مالی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45630 2015 12 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The impact of financial crises on the risk–return tradeoff and the leverage effect ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Economic Modelling, Volume 49, September 2015, Pages 407–418

کلمات کلیدی
بحران های مالی - اهرم مالی - بازارهای بین المللی - حافظه بلند مدت - معاوضه خطر بازگشت - بازده سهام - بازخورد نوسانات
پیش نمایش مقاله
پیش نمایش مقاله تاثیر بحران مالی بر معاوضه ریسک بازده و اثر اهرم مالی

چکیده انگلیسی

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk–return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926 through 2010 shows that both financial effects increase significantly during crises. Strikingly, the risk–return tradeoff is significantly positive only during financial crises, and insignificant during non-crisis periods. The leverage effect is negative throughout, but increases significantly by about 50% in magnitude during financial crises. No such changes are observed during NBER recessions, so in this sense financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international evidence on the risk–return tradeoff is mixed.

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