scholarly journals How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan

2018 ◽  
Vol 09 (10) ◽  
pp. 1635-1643
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Return ◽  
Structural Breaks ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Volatility Persistence ◽  
China And Japan

scholarly journals A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan

2019 ◽  
Vol 10 (3) ◽  
pp. 39
Author(s):  
Chikashi Tsuji
Keyword(s):  
Multivariate Analysis ◽  
Stock Returns ◽  
Stock Return ◽  
Structural Breaks ◽  
Structural Break ◽  
Return Volatility ◽  
Time Varying ◽  
Stock Return Volatility ◽  
Volatility Persistence ◽  
The Us

This paper quantitatively inspects the effects of structural breaks in stock returns on their volatility persistence by using the stock return data of the US and Japan. More concretely, applying the diagonal BEKK-MGARCH model with and without structural break dummies to the returns of S&P 500 and TOPIX, we reveal the following interesting findings. (1) First, we clarify that for both the US and Japanese stock returns, the values of the GARCH parameters, namely, the values of the volatility persistence parameters in the diagonal BEKK-MGARCH models decrease when we include the structural break dummies in the models. (2) Second, we further find that interestingly, during the Lehman crisis in 2008, the estimated time-varying volatilities from the diagonal BEKK-MGARCH model with structural break dummies are slightly higher than those from the no structural break dummy model. (3) Third, we furthermore reveal that also very interestingly, the estimated time-varying correlations from the diagonal BEKK-MGARCH model with no structural break dummy are slightly higher than those from the structural break dummy model.

scholarly journals Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

2018 ◽  
Vol 10 (10) ◽  
pp. 3361 ◽  
Author(s):  
Junru Zhang ◽  
Hadrian Djajadikerta ◽  
Zhaoyong Zhang
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Return ◽  
Return Volatility ◽  
Chinese Stock Market ◽  
Stock Return Volatility ◽  
News Release ◽  
Volatility Persistence ◽  
Google Search ◽  
The Impact

This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

scholarly journals Structural breaks and GARCH models of stock return volatility: The case of South Africa

2012 ◽  
Vol 29 (6) ◽  
pp. 2435-2443 ◽  
Author(s):  
Ali Babikir ◽  
Rangan Gupta ◽  
Chance Mwabutwa ◽  
Emmanuel Owusu-Sekyere
Keyword(s):  
South Africa ◽  
Stock Return ◽  
Structural Breaks ◽  
Garch Models ◽  
Return Volatility ◽  
Stock Return Volatility
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