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  • Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models

    Author
    F. Darrat, Ali
    W. Gilley, Otis
    Li, Bin
    Wu, Yanhui
    Year published
    2011
    Metadata
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    Abstract
    This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results significantly vary across model specifications, the overall evidence from GARCH models supports a significantly positive risk/return relation in several markets but only prior to the Asian financial crisis. These results accord with Glosten et al. (1993) and Harvey (2001) and suggest that the relative risk aversion is sensitive to both ...
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    This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results significantly vary across model specifications, the overall evidence from GARCH models supports a significantly positive risk/return relation in several markets but only prior to the Asian financial crisis. These results accord with Glosten et al. (1993) and Harvey (2001) and suggest that the relative risk aversion is sensitive to both model specifications and structural breaks.
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    Journal Title
    Journal of Business Research
    Volume
    64
    Issue
    2
    DOI
    https://doi.org/10.1016/j.jbusres.2010.02.008
    Subject
    Finance
    Publication URI
    http://hdl.handle.net/10072/40873
    Collection
    • Journal articles

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