Dynamics of idiosyncratic volatility and market volatility: An emerging market perspective

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Abstract Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990-2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL - a plausible reason is high correlation between firms returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.
Original languageEnglish
Pages (from-to)74 - 100
Number of pages27
JournalGlobal Economic Review
Volume44
Issue number1
DOIs
Publication statusPublished - 2015

Cite this

@article{6a510f8b034d4b748a9828e6400b8e69,
title = "Dynamics of idiosyncratic volatility and market volatility: An emerging market perspective",
abstract = "Abstract Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990-2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL - a plausible reason is high correlation between firms returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.",
author = "Tan, {Pei Pei} and Galagedera, {Don Upatissa Asoka}",
year = "2015",
doi = "10.1080/1226508X.2015.956404",
language = "English",
volume = "44",
pages = "74 -- 100",
journal = "Global Economic Review",
issn = "1226-508X",
publisher = "Taylor & Francis",
number = "1",

}

Dynamics of idiosyncratic volatility and market volatility: An emerging market perspective. / Tan, Pei Pei; Galagedera, Don Upatissa Asoka.

In: Global Economic Review, Vol. 44, No. 1, 2015, p. 74 - 100.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - Dynamics of idiosyncratic volatility and market volatility: An emerging market perspective

AU - Tan, Pei Pei

AU - Galagedera, Don Upatissa Asoka

PY - 2015

Y1 - 2015

N2 - Abstract Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990-2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL - a plausible reason is high correlation between firms returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.

AB - Abstract Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990-2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL - a plausible reason is high correlation between firms returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.

U2 - 10.1080/1226508X.2015.956404

DO - 10.1080/1226508X.2015.956404

M3 - Article

VL - 44

SP - 74

EP - 100

JO - Global Economic Review

JF - Global Economic Review

SN - 1226-508X

IS - 1

ER -