Have European Stocks Become More Volatile? An Empirical Investigation of Volatilities and Correlations in Emu Equity Markets at the Firm, Industry and Market Level
You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Book
Title:
Have European Stocks Become More Volatile? An Empirical Investigation of Volatilities and Correlations in Emu Equity Markets at the Firm, Industry and Market Level
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 23, 2004 erstellt
Description:
We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the Euro-area stock markets in the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find an increase in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to their findings, however, market risk is trended upwards and correlations among the stocks are only mildly trended downwards. Market volatility tends to lead the other volatility measures in EMU markets whereas idiosyncratic volatility leads in the US ones. Both the volatility and the correlation measures increase at times of low market returns implying a skewed market portfolio return distribution. We suggest a number of implications of these findings for portfolio management, trading and asset pricing