This paper investigates the short-term dynamics of stock returns in an emerging stock market namely, the Cyprus Stock Exchange (CYSE). Stock returns are modelled as conditionally heteroscedastic processes with time-dependent serial correlation. The conditional variance follows an EGARCH process,...

EGARCH-M models based on a daily, weekly, and monthly S&P–500 returns over the period October 1934–September 1994 reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear markets. Higher margins are also negatively related to...