دانلود مقاله ISI انگلیسی شماره 52818
عنوان فارسی مقاله

آیا بازده دولت در رابطه بین ریسک و بازده موضوعی در مدل سازی فرایند سری زمانی بازده سهام متغیر است؟

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
52818 2016 16 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
منبع

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

Journal : International Review of Economics & Finance, Volume 42, March 2016, Pages 72–87

کلمات کلیدی
مارکوف سوئیچینگ - رابطه بازده-نوسانات - پویایی بازده سهام
پیش نمایش مقاله
پیش نمایش مقاله آیا بازده دولت در رابطه بین ریسک و بازده موضوعی در مدل سازی فرایند سری زمانی بازده سهام متغیر است؟

چکیده انگلیسی

This paper empirically investigates the time series behavior of stock returns and volatility and the relationship between return premium and stock market risk by utilizing a TSV-GARCH(p,q)-Risk-Mean model. The empirical findings of this paper provide evidence for the distinct driving forces in mean and volatility and the state-dependent tradeoff between risk and return. The empirical results demonstrate that the stock market displays four types of dynamic processes (high-return–low-volatility state, low-return–low-volatility state, high-return–high-volatility state, and low-return–high-volatility state) and that the structural change process of stock market returns is greatly at odds with that of stock market volatility. The TSV-GARCH(1,1)-Risk-Mean model provides better in-sample fit compared to the conventional GARCH(p,q) and regime-switching GARCH(p,q) models. Moreover, the relationship between excess returns and risk is positive, and the intensity of this positive relationship during periods of bear market is significantly higher than that during periods of bull market, which provides supporting evidence for the countercyclical risk premiums hypothesis in which the magnitude of compensation for enduring risk is weaker during periods of favorable financial conditions than during periods of adverse conditions.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.