Volatility Perception and Conditional Returns: Comparative Study of SPX and Hang Seng Index

被引：0

作者：

Gang, Jianhua ^{[1
]}

Li, Xiang ^{[1
]}

机构：

[1] Beihang Univ, Sch Econ & Management, Beijing, Peoples R China

来源：

PROCEEDINGS OF THE 2009 INTERNATIONAL CONFERENCE ON PUBLIC ECONOMICS AND MANAGEMENT ICPEM 2009, VOL 6: COST BENEFITS ANALYSIS | 2009年

关键词：

GARCH models; Conditional Joint Density; Seminonparametric; SPX; VIX; ESTIMATORS;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We utilize the seminonparametric (SNP) modeling procedure to study the relationship between volatility perception and equity returns. Results on the one-step-ahead conditional mean of SPX return from the SNP estimations do not support any of the advocates in the past literature on the relationship between volatility and return. Instead, our model suggests a significant and smooth nonlinear relationship for the SPX case. The Hang Seng index also yields to similar property but of opposite direction.

引用

页码：349 / 352

页数：4

共 18 条

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