Risk and Returns in the Asian Pacific Markets: The MIDAS Approach

Abstract

In this paper, we follow Ghysels, Santa-Clara, and Valkanov's (2005, Journal of Financial Economics) approach to study the intertemporal relation between the conditional mean and variance of aggregate stock market returns in the Asian Pacific region. Using the mixed data sampling (MIDAS) we find that there is no significant positive relationship between risk and the expected stock returns in most markets. We also employ asymmetric specifications of the variance process within the MIDAS framework, and the results do not improve much compared to the symmetric models.