{"id":"https://openalex.org/W2126758157","doi":"https://doi.org/10.1017/s0022109010000232","title":"A Reexamination of the Causes of Time-Varying Stock Return Volatilities","display_name":"A Reexamination of the Causes of Time-Varying Stock Return Volatilities","publication_year":2010,"publication_date":"2010-03-31","ids":{"openalex":"https://openalex.org/W2126758157","doi":"https://doi.org/10.1017/s0022109010000232","mag":"2126758157"},"language":"en","primary_location":{"id":"doi:10.1017/s0022109010000232","doi":"https://doi.org/10.1017/s0022109010000232","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0022109010000232","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1199511","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100734643","display_name":"Chu Zhang","orcid":"https://orcid.org/0000-0002-5469-906X","observed_orcids":["https://orcid.org/0000-0002-5469-906X"]},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Chu Zhang","raw_affiliation_strings":["Department of Finance, Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong","Department of Finance, Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong. czhang@ust.hk"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong","institution_ids":["https://openalex.org/I200769079"]},{"raw_affiliation_string":"Department of Finance, Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong. czhang@ust.hk","institution_ids":["https://openalex.org/I200769079"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100734643"],"corresponding_institution_ids":["https://openalex.org/I200769079"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":15.044,"has_fulltext":false,"cited_by_count":90,"citation_normalized_percentile":{"value":0.98621982,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"45","issue":"3","first_page":"663","last_page":"684"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7192000150680542,"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":0.7192000150680542,"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":0.26030001044273376,"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":0.010900000110268593,"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-return-volatility","display_name":"stock return volatility","score":0.9419999718666077},{"id":"https://openalex.org/keywords/time-varying-volatility","display_name":"time-varying volatility","score":0.9850000143051147},{"id":"https://openalex.org/keywords/earnings-volatility","display_name":"earnings volatility","score":0.6830000281333923},{"id":"https://openalex.org/keywords/growth-options","display_name":"growth options","score":0.9710000157356262},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.8489999771118164},{"id":"https://openalex.org/keywords/international-stock-markets","display_name":"international stock markets","score":0.7360000014305115},{"id":"https://openalex.org/keywords/us-stock-market","display_name":"US stock market","score":0.7549999952316284}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7064269781112671},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6987991333007812},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6532878279685974},{"id":"https://openalex.org/C2777402642","wikidata":"https://www.wikidata.org/wiki/Q2557224","display_name":"Explanatory power","level":2,"score":0.6288001537322998},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6167830228805542},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5078101754188538},{"id":"https://openalex.org/C2781426361","wikidata":"https://www.wikidata.org/wiki/Q5326940","display_name":"Earnings","level":2,"score":0.47748348116874695},{"id":"https://openalex.org/C2778392974","wikidata":"https://www.wikidata.org/wiki/Q5326945","display_name":"Earnings growth","level":3,"score":0.4317645728588104},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.08174866437911987},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"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/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1017/s0022109010000232","doi":"https://doi.org/10.1017/s0022109010000232","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0022109010000232","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1199511","doi":"https://doi.org/10.2139/ssrn.1199511","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1199511","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-39700","doi":null,"is_oa":false,"landing_page_url":"http://repository.hkust.edu.hk/ir/Record/1783.1-39700","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"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"},{"id":"pmh:oai:RePEc:cup:jfinqa:v:45:y:2010:i:03:p:663-684_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109010000232/type/journal_article","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"},{"id":"pmh:oai:repository.ust.hk:1783.1-39700","doi":null,"is_oa":false,"landing_page_url":"http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=0022-1090&rft.volume=45&rft.issue=3&rft.date=2010&rft.spage=663&rft.epage=684&rft.aulast=Zhang&rft.aufirst=Chu&rft.atitle=A+Reexamination+of+the+Causes+of+Time-Varying+Stock+Return+Volatilities","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1199511","doi":"https://doi.org/10.2139/ssrn.1199511","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1199511","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.4399999976158142}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1602495845","https://openalex.org/W1970834139","https://openalex.org/W1972551475","https://openalex.org/W1980077269","https://openalex.org/W1995834279","https://openalex.org/W2003498865","https://openalex.org/W2059149223","https://openalex.org/W2117178635","https://openalex.org/W2139080644","https://openalex.org/W2153146814","https://openalex.org/W2160416208","https://openalex.org/W3022041122","https://openalex.org/W3023906401","https://openalex.org/W3121275215","https://openalex.org/W3123321248","https://openalex.org/W3123479862","https://openalex.org/W3124625646","https://openalex.org/W3124683565","https://openalex.org/W3124909920","https://openalex.org/W3125210501"],"related_works":["https://openalex.org/W7099618791","https://openalex.org/W2150067066","https://openalex.org/W1970834139","https://openalex.org/W2101926716","https://openalex.org/W2761441348","https://openalex.org/W2917009419","https://openalex.org/W7098640872","https://openalex.org/W3124538474","https://openalex.org/W2128561109","https://openalex.org/W7062183217"],"abstract_inverted_index":{"Abstract":[0],"The":[1],"decline":[2],"of":[3,79,114],"average":[4,22,52],"stock":[5,84],"return":[6,23,85],"volatility":[7,24,53,74],"in":[8,26,50,54,82,93],"the":[9,21,27,47,51,69,73,80,83,91,94,111,115],"2001\u20132006":[10],"period":[11],"provides":[12],"an":[13],"opportunity":[14],"to":[15,59,66],"test":[16],"various":[17],"theories":[18,34,45,71],"on":[19],"why":[20],"increased":[25],"pre-2000":[28],"period.":[29],"This":[30],"paper":[31],"compares":[32],"fundamentals-based":[33,41,70],"with":[35],"trading":[36,43],"volume-based":[37,44],"theories.":[38],"While":[39],"both":[40],"and":[42,61,97],"explain":[46,72],"upward":[48],"trend":[49],"U.S.":[55],"stocks":[56,63],"from":[57,64],"1976":[58],"2000":[60],"international":[62],"1990":[65],"2000,":[67],"only":[68],"pattern":[75],"for":[76,99],"2001\u20132006.":[77],"Much":[78],"variation":[81,92],"volatilities":[86,96],"can":[87],"be":[88],"explained":[89],"by":[90,104],"earnings":[95],"proxies":[98],"growth":[100],"options,":[101],"but":[102],"not":[103],"trading-related":[105],"variables.":[106],"Evidence":[107],"also":[108],"shows":[109],"that":[110],"explanatory":[112],"power":[113],"fundamentals":[116],"variables":[117],"is":[118],"time":[119],"varying.":[120]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":10},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":11},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":12},{"year":2012,"cited_by_count":9}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
