Positive IVOL-MAX effect: A study on the Singapore Stock Market
Ralf Östermark; M Arifur Rahman; Mohammad Nurul Hasan; Syed Riaz Mahmood Ali
Positive IVOL-MAX effect: A study on the Singapore Stock Market
Ralf Östermark
M Arifur Rahman
Mohammad Nurul Hasan
Syed Riaz Mahmood Ali
Julkaisun pysyvä osoite on:
https://urn.fi/URN:NBN:fi-fe2021042822714
https://urn.fi/URN:NBN:fi-fe2021042822714
Tiivistelmä
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.
Kokoelmat
- Rinnakkaistallenteet [19207]