Country-specific idiosyncratic risk and global equity index returns

C. James Hueng, Ruey Yau

研究成果: 雜誌貢獻期刊論文同行評審

18 引文 斯高帕斯(Scopus)


Studies have claimed that the "idiosyncratic volatility puzzle" in the firm-level data can be explained by certain time-series properties of the firm-specific shocks. The absence of this puzzle in the country-level index data implies that the time-series properties of the country-specific shocks are different from those of the firm-specific shocks. We find that the differences are, first, lagged idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data. Second, idiosyncratic skewness is not a significant factor determining country-level index returns. Finally, country-specific index returns show momentum, as opposed to return reversals documented in the firm-level data.

頁(從 - 到)326-337
期刊International Review of Economics and Finance
出版狀態已出版 - 1月 2013


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