Stock return volatility and the internet phenomenon

This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?';1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also employed with an additional regressor (the market return) to observe the trend of time-varying betas.

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Year of publication:	2006
Authors:	Liu, Virginia ; Tapon, Francis ; Sun, Yiguo
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 2.2006, 2, p. 105-109
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495869