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Hsu, Chia-Luan (2009) Stock Return Volatility and the Determinants: An Empirical Study of the US Market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This study investigates the stock return volatility in the U.S. equity market between 2000 and 2008. Several financial characteristics, including the P/E ratio, dividend yield, trading volume, leverage effect, and firm’s size are jointly, rather than individually, employed in the analyses based upon the fixed effect model. In consideration of the time varying behavior in the return variation, the GARCH (1, 1) model is used to capture the stock return volatility.

Since 2006, the impact of the subprime mortgage crisis in the U.S. has caused serious problems in the financial markets. Thus, to understand the determinants of the stock return volatility, the crisis effect is also included in the analyses, and the results show that the size of the firm is negatively and significantly related to the stock return volatility, and that the trading volume presets a certain significantly positive relationship with the return variation. In addition, the P/E ratio has some explanatory power in terms of the volatility when the crisis effect is involved in the model. Moreover, the stock return volatility is significantly influenced by the subprime mortgage crisis. The return variation is higher before the crisis, while it is relatively lower in the post-crisis period. Besides, these findings are still robust when the sub-sample of large firms is particularly tested.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	EP, Services
Date Deposited:	04 Feb 2010 10:27
Last Modified:	23 Jan 2018 06:17
URI:	https://eprints.nottingham.ac.uk/id/eprint/22783

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