Positive IVOL-MAX effect: A study on the Singapore Stock Market

Abstract

<p>This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market<br />meaning that the highly volatile stocks are showing better returns in the subsequent month. More<br />explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL)<br />and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is<br />stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL<br />effect is insignificant. In addition, this paper shows that the relationship between maximum daily<br />return over a month (MAX) and the subsequent month’s return is positive and significant in this<br />market. However, IVOL is the true effect of this market rather than MAX. <br /></p>