دانلود مقاله ISI انگلیسی شماره 101263
ترجمه فارسی عنوان مقاله

تعیین کننده بی ثباتی فردی: شواهد از بازار سهام هند

عنوان انگلیسی
Determinants of idiosyncratic volatility: Evidence from the Indian stock market
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
101263 2017 13 صفحه PDF
منبع

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

Journal : Research in International Business and Finance, Volume 41, October 2017, Pages 172-184

پیش نمایش مقاله
پیش نمایش مقاله  تعیین کننده بی ثباتی فردی: شواهد از بازار سهام هند

چکیده انگلیسی

This paper investigates whether firm-specific characteristics explain idiosyncratic volatility in the stocks of non-financial firms traded in the Indian stock market. It employs the linear time series five-factor model, augmented with a liquidity factor and the conditional EGARCH model, to extract yearly idiosyncratic volatility. We estimate a panel data regression to quantify the relationship between firm-specific characteristics and the volatility of individual securities. The results show that idiosyncratic volatility is significant in emerging markets such as India, and that cross-sectional return variations of firms are associated with firm-specific characteristics such as firm size, book-to-market ratio, momentum, liquidity, cash flow-to-price ratio, and returns on assets. We find that the idiosyncratic risk documented in this study is associated with smaller size of company, higher liquidity, low momentum, high book-to-market ratio, and low cash flow-to-price ratio. The findings suggest need to develop alternative tools to make investment decisions in emerging markets.