G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8149
DP8149 Aggregate Idiosyncratic Volatility
Robert J Hodrick; Geert Bekaert; Xiaoyan Zhang
发表日期2010-12-01
出版年2010
语种英语
摘要We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample till 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Finally, we examine the determinants of the time-variation in idiosyncratic volatility. In most specifications, the bulk of idiosyncratic volatility can be explained by a growth opportunity proxy, total (U.S.) market volatility, and in most but not all specifications, the variance premium, a business cycle sensitive risk indicator. Our results have important implications for studies of portfolio diversification, return volatility and contagion.
主题Financial Economics
关键词Contagion Diversification Growth opportunities Idiosyncratic volatility Regime switching model Return correlation Trend test Variance premium Volatility dynamics
URLhttps://cepr.org/publications/dp8149
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536986
推荐引用方式
GB/T 7714
Robert J Hodrick,Geert Bekaert,Xiaoyan Zhang. DP8149 Aggregate Idiosyncratic Volatility. 2010.
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