Investigating Regime-Switching Risk-Return Correlation: Evidence from Emerging Markets
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === This paper investigates the risk-return relation in the emerging markets. So far as the proxy of risk is concerned, this paper uses GARCH (1,1) model to capture volatility, in other words, GARCH variance is the proxy of risk. In additional, the risk-return r...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/dx99ac |
| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === This paper investigates the risk-return relation in the emerging markets. So far as the proxy of risk is concerned, this paper uses GARCH (1,1) model to capture volatility, in other words, GARCH variance is the proxy of risk. In additional, the risk-return relation could be non-constant; hence, this paper also uses Markov-Switching model to show the relation. Empirical results indicate that the most markets show one regime is positively correlated, another regime is negatively correlated. The results verify that the return-risk relation is non-constant.
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