The Relationship between Stock Returns and Volatility in International Stock Markets

By Qi Li, Jian Yang, Cheng Hsiao, Youngjae Chang. 2005

180 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/668b9be4ab2e64af9462b6b45f279eebdadeb75f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Cheol S. Eun
2. Wei Huang

In Finance

1. Cheol S. Eun
2. Wei Huang

Citations in the corpus

• The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “…driven by oil-market specific demand shocks cause stock markets to fall.2 With regard to the effect of oil price shocks on stockmarket volatility, Malik and Ewing (2009) find evidence of significant transmission of volatility between oil and some sectors in the US stock market, Vo (2011) shows…”
• Asset Pricing in China's Domestic Stock Markets: Is There a Logic? (2007, background): “Some recent studies that use different estimation models for conditional idiosyncratic volatilities (e.g., Fu (2005), Li et al. (2005)) provide evidence of a positive relationship between idiosyncratic risk and expected returns.”