Prethodno priopćenje

Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector

V. Chirila ; „Al. I. Cuza” University of Iaşi, Faculty of Economics and Business Administration, Accounting, Economic Informatics and Statistics Department, Iasi, Romania
C. Chirila ; „Al. I. Cuza” University of Iaşi, Faculty of Economics and Business Administration, Accounting, Economic Informatics and Statistics Department, Iasi, Romania

Sažetak

This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return and volatility, relationship between return and volatility and volatility asymmetry. The results obtained confirm for all the analyzed stocks the existence of volatility variation in time, the lack of correlation between return and volatility, the existence of asymmetry phenomenon of volatility and the presence in some stocks of the seasonality effect both for return and volatility.

Ključne riječi

steel & iron subsector; stock; return; conditional volatility; Europe

Hrčak ID:

126746

URI

https://hrcak.srce.hr/126746

Datum izdavanja:

1.1.2015.

Posjeta: 1.291 *