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

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

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Sammanfattning

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.

OriginalspråkEngelska
Artikelnummer101245
Sidor (från-till)
TidskriftThe North American Journal of Economics and Finance
Volym54
DOI
StatusPublicerad - 2020
MoE-publikationstypA1 Tidskriftsartikel-refererad

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