Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 8, 2023 erstellt
Description:
It turns out that stock return volatility responds asymmetrically following negative stock returns. A negative return shock causes next-period volatility to increase more than that of a positive return shock. The article examines the asymmetric property of return volatility using the volatility feedback hypothesis in the context of the Finnish stock market index (OMXH25). Employing ADCC-EGARCH in modeling conditional covariance, results reveal that volatility feedback effect is weakly evident in the market although asymmetric effects increase covariance risk. However, the study finds evidence of significant idiosyncratic conditional volatility caused by either firm-level leverage and/or market inefficiency