{"id":"https://openalex.org/W2004374294","doi":"https://doi.org/10.1080/09603100600771034","title":"Time-varying volatility and equity returns in Bangladesh stock market","display_name":"Time-varying volatility and equity returns in Bangladesh stock market","publication_year":2007,"publication_date":"2007-11-01","ids":{"openalex":"https://openalex.org/W2004374294","doi":"https://doi.org/10.1080/09603100600771034","mag":"2004374294"},"language":"en","primary_location":{"id":"doi:10.1080/09603100600771034","doi":"https://doi.org/10.1080/09603100600771034","is_oa":false,"landing_page_url":"https://doi.org/10.1080/09603100600771034","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5080990873","display_name":"Syed Abul Basher","orcid":"https://orcid.org/0000-0003-3918-8285","observed_orcids":["https://orcid.org/0000-0003-3918-8285"]},"institutions":[{"id":"https://openalex.org/I192455969","display_name":"York University","ror":"https://ror.org/05fq50484","country_code":"CA","type":"education","lineage":["https://openalex.org/I192455969"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Syed A. Basher","raw_affiliation_strings":["Department of Economics, York University, Toronto, ON, M3J 1P3, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, York University, Toronto, ON, M3J 1P3, Canada","institution_ids":["https://openalex.org/I192455969"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5001446777","display_name":"M. Kabir Hassan","orcid":"https://orcid.org/0000-0001-6274-3545","observed_orcids":["https://orcid.org/0000-0001-6274-3545","https://orcid.org/0000-0002-9086-2813"]},"institutions":[{"id":"https://openalex.org/I192396691","display_name":"LSU New Orleans","ror":"https://ror.org/034mtvk83","country_code":"US","type":"education","lineage":["https://openalex.org/I192396691"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"M. Kabir Hassan","raw_affiliation_strings":["Department of Economics and Finance, University of New Orleans, New Orleans, LA 70148, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, University of New Orleans, New Orleans, LA 70148, USA","institution_ids":["https://openalex.org/I192396691"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049358487","display_name":"Anisul M. Islam","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I16277215","display_name":"University of Houston - Downtown","ror":"https://ror.org/05mj6fy81","country_code":"US","type":"education","lineage":["https://openalex.org/I16277215"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Anisul M. Islam","raw_affiliation_strings":["Department of Finance, Accounting & CIS, University of Houston-Downtown, Houston, TX, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Accounting & CIS, University of Houston-Downtown, Houston, TX, USA","institution_ids":["https://openalex.org/I16277215"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5001446777"],"corresponding_institution_ids":["https://openalex.org/I192396691"],"apc_list":null,"apc_paid":null,"fwci":2.3546,"has_fulltext":false,"cited_by_count":46,"citation_normalized_percentile":{"value":0.90438791,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"17","issue":"17","first_page":"1393","last_page":"1407"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8125,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8125,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.18289999663829803,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.002300000051036477,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/time-varying-volatility","display_name":"time-varying volatility","score":0.9950000047683716},{"id":"https://openalex.org/keywords/risk-return-trade-off","display_name":"risk-return tradeoff","score":0.8920000195503235},{"id":"https://openalex.org/keywords/circuit-breakers","display_name":"circuit breakers","score":0.8209999799728394},{"id":"https://openalex.org/keywords/lock-in","display_name":"lock-in","score":0.4690000116825104},{"id":"https://openalex.org/keywords/stock-market-efficiency","display_name":"stock market efficiency","score":0.6700000166893005},{"id":"https://openalex.org/keywords/serial-correlation","display_name":"serial correlation","score":0.8040000200271606},{"id":"https://openalex.org/keywords/emerging-stock-markets","display_name":"emerging stock markets","score":0.7319999933242798},{"id":"https://openalex.org/keywords/bangladesh-stock-exchange","display_name":"Bangladesh Stock Exchange","score":0.7570000290870667},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.4000000059604645},{"id":"https://openalex.org/keywords/information-disclosure","display_name":"information disclosure","score":0.578000009059906}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.659085750579834},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5331686735153198},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5093051195144653},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.46694695949554443},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4527091085910797},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.4452294111251831},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.4378964900970459},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.42478805780410767},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.408793181180954},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.35568922758102417},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1456867754459381},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/09603100600771034","doi":"https://doi.org/10.1080/09603100600771034","is_oa":false,"landing_page_url":"https://doi.org/10.1080/09603100600771034","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:apfiec:v:17:y:2007:i:17:p:1393-1407","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/09603100600771034","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5199999809265137}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W1522592437","https://openalex.org/W1576326745","https://openalex.org/W1966268097","https://openalex.org/W1967550611","https://openalex.org/W1968307854","https://openalex.org/W1979575715","https://openalex.org/W1989729764","https://openalex.org/W1999996900","https://openalex.org/W2001496610","https://openalex.org/W2003585864","https://openalex.org/W2003626215","https://openalex.org/W2005678794","https://openalex.org/W2010997253","https://openalex.org/W2023240121","https://openalex.org/W2023241887","https://openalex.org/W2039774260","https://openalex.org/W2044117118","https://openalex.org/W2048624646","https://openalex.org/W2054477007","https://openalex.org/W2061160212","https://openalex.org/W2064638174","https://openalex.org/W2068779919","https://openalex.org/W2086789572","https://openalex.org/W2090637028","https://openalex.org/W2098036911","https://openalex.org/W2105631593","https://openalex.org/W2116399596","https://openalex.org/W2122679841","https://openalex.org/W2134807435","https://openalex.org/W2152804254","https://openalex.org/W2154854240","https://openalex.org/W2172364747","https://openalex.org/W2182907627","https://openalex.org/W2605350075","https://openalex.org/W3022360661","https://openalex.org/W3121383248","https://openalex.org/W3121451334","https://openalex.org/W3123289511","https://openalex.org/W3123745231","https://openalex.org/W3125066342","https://openalex.org/W3125453467","https://openalex.org/W4285719527","https://openalex.org/W4299846046","https://openalex.org/W4300567850"],"related_works":["https://openalex.org/W1480420059","https://openalex.org/W7097103130","https://openalex.org/W3034164622","https://openalex.org/W3205429084","https://openalex.org/W2886901149","https://openalex.org/W3035892250","https://openalex.org/W621027341","https://openalex.org/W2762361812","https://openalex.org/W3203258029","https://openalex.org/W4392465128"],"abstract_inverted_index":{"This":[0],"article":[1],"empirically":[2],"examines":[3],"the":[4,10,22,77,94,97,112,158,168,178,190,195],"time-varying":[5],"risk":[6,128,137],"return":[7],"relationship":[8,69],"and":[9,36,49,73,89,102,185,192],"impact":[11,154],"of":[12,26,87,91,96,140,160,170,180,187,197],"institutional":[13],"factors":[14],"such":[15],"as":[16,122],"circuit":[17,162],"breaker":[18,163],"on":[19,155,194],"volatility":[20,72,142,169],"for":[21],"emerging":[23,120],"equity":[24,42],"market":[25,61,182],"Bangladesh":[27],"[namely":[28],"The":[29,40,53,63],"Dhaka":[30],"Stock":[31],"Exchange":[32],"(DSE)]":[33],"using":[34],"daily":[35],"weekly":[37],"stock":[38,60,74,156],"returns.":[39,172],"DSE":[41],"returns":[43,54],"show":[44,66],"negative":[45,101],"skewness,":[46],"excess":[47],"kurtosis":[48],"deviation":[50],"from":[51],"normality.":[52],"display":[55],"significant":[56,68],"serial":[57],"correlation":[58],"suggesting":[59],"inefficiency.":[62],"results":[64],"also":[65],"a":[67,161,174],"between":[70],"conditional":[71],"returns,":[75],"but":[76],"risk-return":[78,98],"parameter":[79,99],"is":[80,100,108,116],"found":[81],"to":[82,85,135,167,176,189],"be":[83,201],"sensitive":[84],"choice":[86],"samples":[88],"frequencies":[90],"data.":[92],"Overall,":[93],"coefficient":[95],"statistically":[103],"significant.":[104],"While":[105,147],"this":[106],"result":[107],"not":[109,125,150],"consistent":[110],"with":[111],"portfolio":[113],"theory,":[114],"it":[115],"possible":[117],"theoretically":[118],"in":[119],"markets":[121],"investors":[123,193],"may":[124],"demand":[126],"higher":[127],"premia":[129],"if":[130],"they":[131],"are":[132],"better":[133],"able":[134],"bear":[136],"at":[138],"times":[139],"particular":[141],"(Glosten":[143],"et":[144],"al.,":[145],"Citation1993).":[146],"lock-in":[148],"did":[149],"have":[151],"any":[152],"overall":[153],"volatility,":[157],"imposition":[159],"has":[164],"contributed":[165],"significantly":[166],"realized":[171],"As":[173],"policy":[175],"improve":[177],"operation":[179],"capital":[181],"timely":[183],"disclosure":[184],"dissemination":[186],"information":[188],"shareholders":[191],"performance":[196],"listed":[198],"companies":[199],"should":[200],"emphasized.":[202]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
