Positive IVOL-MAX effect: A Study on the Singapore Stock Market

Syed Ali, M Arifur Rahman, Mohammad Nurul Hasan, Ralf Östermark

    Research output: Contribution to journalArticleScientificpeer-review

    3 Citations (Scopus)
    7 Downloads (Pure)


    This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.

    Original languageEnglish
    Article number101245
    Pages (from-to)
    JournalThe North American Journal of Economics and Finance
    Publication statusPublished - 2020
    MoE publication typeA1 Journal article-refereed


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