{"id":"https://openalex.org/W2018880918","doi":"https://doi.org/10.1080/13504850500120607","title":"Stock returns and volatility: empirical evidence from fourteen countries","display_name":"Stock returns and volatility: empirical evidence from fourteen countries","publication_year":2005,"publication_date":"2005-08-15","ids":{"openalex":"https://openalex.org/W2018880918","doi":"https://doi.org/10.1080/13504850500120607","mag":"2018880918"},"language":"en","primary_location":{"id":"doi:10.1080/13504850500120607","doi":"https://doi.org/10.1080/13504850500120607","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504850500120607","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","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/A5076205027","display_name":"Ercan Balaban","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I98677209","display_name":"University of Edinburgh","ror":"https://ror.org/01nrxwf90","country_code":"GB","type":"education","lineage":["https://openalex.org/I98677209"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Ercan Balaban *","raw_affiliation_strings":["Management School and Economics, The University of Edinburgh, Edinburgh EH8 9JY, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management School and Economics, The University of Edinburgh, Edinburgh EH8 9JY, UK","institution_ids":["https://openalex.org/I98677209"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5070170594","display_name":"Asl\u0131 Bayar","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I106245021","display_name":"\u00c7ankaya University","ror":"https://ror.org/056wqre19","country_code":"TR","type":"education","lineage":["https://openalex.org/I106245021"]}],"countries":["TR"],"is_corresponding":false,"raw_author_name":"Asl\u0131 Bayar","raw_affiliation_strings":["Department of Management, Cankaya University, Ankara 06530, Turkey"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Management, Cankaya University, Ankara 06530, Turkey","institution_ids":["https://openalex.org/I106245021"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.5475,"has_fulltext":false,"cited_by_count":28,"citation_normalized_percentile":{"value":0.94423237,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"12","issue":"10","first_page":"603","last_page":"611"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"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":0.9990000128746033,"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":0.0005000000237487257,"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":0.0003000000142492354,"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/stock-returns","display_name":"stock returns","score":0.949999988079071},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.5910000205039978},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.5389999747276306},{"id":"https://openalex.org/keywords/conditional-heteroscedasticity","display_name":"conditional heteroskedasticity","score":0.8939999938011169},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.5899999737739563},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.777999997138977},{"id":"https://openalex.org/keywords/gjr-garch","display_name":"GJR-GARCH","score":0.9890000224113464},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.7059999704360962},{"id":"https://openalex.org/keywords/cross-country-stock-markets","display_name":"cross-country stock markets","score":0.6690000295639038}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7899174094200134},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6705062985420227},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6515534520149231},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5955253839492798},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5893092751502991},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5823068618774414},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.5763063430786133},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.5182299613952637},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.44215941429138184},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.41960591077804565},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4151570200920105},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4011270999908447},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1031334400177002},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/13504850500120607","doi":"https://doi.org/10.1080/13504850500120607","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504850500120607","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.5299999713897705,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W1963830889","https://openalex.org/W1966268097","https://openalex.org/W1989729764","https://openalex.org/W1991311094","https://openalex.org/W1999814123","https://openalex.org/W2003626215","https://openalex.org/W2009767113","https://openalex.org/W2054477007","https://openalex.org/W2061160212","https://openalex.org/W2067655642","https://openalex.org/W2080406100","https://openalex.org/W2091141667","https://openalex.org/W2092729734","https://openalex.org/W2140633003","https://openalex.org/W3121766225","https://openalex.org/W3123518332"],"related_works":["https://openalex.org/W1963830889","https://openalex.org/W2089765619","https://openalex.org/W3166849716","https://openalex.org/W4319995701","https://openalex.org/W2258050371","https://openalex.org/W7099898962","https://openalex.org/W1966268097","https://openalex.org/W2104138241","https://openalex.org/W2289860924","https://openalex.org/W7062907356"],"abstract_inverted_index":{"This":[0],"is":[1,43,63,76,141],"a":[2,80,90,96,126],"pioneering":[3],"effort":[4],"to":[5,78,105,114],"test":[6],"in":[7,89,103,112,134],"14":[8],"countries":[9,107,116,138],"the":[10,22,51,66,119,137,144],"relationship":[11],"between":[12,53],"stock":[13,54,101],"market":[14],"returns":[15,33,55,88,102,111,133],"and":[16,24,31,34,56,70,108,131],"their":[17,35,57],"forecast":[18,72],"volatility":[19,36,46,59,62,75,94,120],"derived":[20,64],"from":[21,65],"symmetric":[23],"asymmetric":[25],"conditional":[26],"heteroscedasticity":[27],"models.":[28,73],"Both":[29],"weekly":[30,100,130],"monthly":[32,110,132],"are":[37],"investigated.":[38,139],"An":[39],"out-of-sample":[40],"testing":[41],"methodology":[42],"employed":[44],"using":[45],"forecasts":[47],"instead":[48],"of":[49,136,153],"investigating":[50],"relation":[52],"in-sample":[58],"estimates.":[60],"Expected":[61,74],"ARCH(p),":[67],"GARCH(1,1),":[68],"GJR-GARCH(1,1)":[69],"EGARCH(1,1)":[71],"found":[77],"have":[79],"significant":[81],"negative":[82,97],"or":[83],"positive":[84,127],"effect":[85,98,128],"on":[86,99,109,118,129],"country":[87],"few":[91],"cases.":[92],"Unexpected":[93],"has":[95,125],"six":[104],"seven":[106],"nine":[113],"eleven":[115],"depending":[117],"forecasting":[121],"model.":[122],"However,":[123],"it":[124],"none":[135],"It":[140],"concluded":[142],"that":[143],"return":[145],"variance":[146],"may":[147],"not":[148],"be":[149],"an":[150],"appropriate":[151],"measure":[152],"risk.":[154]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
