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Idiosyncratic Volatility and Expected Stock Returns: Evidence from Thailand

Applied Economics Journal

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Title Idiosyncratic Volatility and Expected Stock Returns: Evidence from Thailand
 
Creator Srisuksai, Pithak
 
Description This paper demonstrates the finding that time-varying expected idiosyncratic volatility has a significant and positive effect on expected stock returns for individual stocks as well as stock sectors. The positive relation remains after controlling for liquidity variables. The second finding is that time-varying expected market volatility has a significanteffect on expected stock returns for both individual stocks and stock sectors, which is consistent with the traditional capital asset pricing model. Although the models control for liquidity variables, the significantly positive relation still exists. In addition, expected idiosyncratic volatility plays a more important role than expected market volatility in determining expected stock returns in the case of individual stocks. In contrast, expected market volatility plays a more important role than expected idiosyncratic volatility in the case of stock sectors. Keywords : idiosyncratic volatility, market volatility, liquidity, expected stock returnJEL Classification : C33, G12
 
Publisher The Center for Applied Economics Research (CAER)
 
Date 2013-07-25
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Identifier //tci-thaijo.org/index.php/AEJ/article/view/10318
 
Source Applied Economics Journal; Vol 19 No 2 (2012): December; 66-89
2586-9132
2586-9124
 
Language en
 
Rights Copyright (c) 2014 Applied Economics Journal
http://creativecommons.org/licenses/by-nc-nd/4.0