MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02063nam a22002657a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240308100553.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240308b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
0972-1509 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HC59.15 GLO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Kumar, Rakesh |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Emperical analysis of conditional heteroskedasticity in times of stock returns and asymmetric volatility |
| Statement of responsibility, etc. |
by Rakesh Kumar and Raj S. Dhankar |
| 264 ## - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
New Delhi : |
| Name of producer, publisher, distributor, manufacturer |
Sage ; |
| Date of production, publication, distribution, manufacture, or copyright notice |
©2010. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Volume/sequential designation |
Volume 11 number 1 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
This article investigates the presence of conditional heteroskedasticity in time series of US stock market returns, and the asymmetric effect of good and bad news on volatility. Further, the study also analyzes the relationship between stock returns and conditional volatility, and standard residuals. The daily opening and closing prices of S&P 500 and NASDAQ 100 are used for the period January 1990 to December 2007. The study applies GARCH (1, 1) and T-GARCH (1, 1) to examine the heteroskedasticity and the asymmetric nature of stock returns respectively. The results of the study suggest the presence of the heteroskedasticity effect and the asymmetric nature of stock returns. Further, analyzing the relationship, the study reports a negative significant relationship between stock returns and conditional volatility. However, the relationship between stock returns and standardized residuals is found to be significant. This study provides a robustness test of the conditional volatility and asymmetric impact of good and bad news. These findings bring out that investors adjust their investment decisions with regard to expected volatility, however, they expect extra risk premium for unexpected volatility. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Conditional heteroskedasticity |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
volatility |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Dhankar, Raj S. |
| Relator term |
co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
10.1177/097215090901100102 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |