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Title: Cross sectional and time series analysis of individual stock volatility : an international study
Authors: Zhou, Haigong
Issue Date: 2004
Abstract: Campbell et al (2001) and Wei and Zhang (2004) show there is an apparent upward trend in individual stock volatility in the U.S. stock market in the past few decades. In particular, Wei and Zhang (2004) probes into how firm fundamental variables drive the change of individual return volatility. Following the approaches in Wei and Zhang (2004), I conduct a study of individual stock volatility in seven largest stock markets in the world (excluding the U.S.). I find individual stock volatility increases over time in five of the seven stock markets under my research. My further analysis demonstrates that the trend can be explained by firm fundamentals including return on equity, book to market equity ratio, firm size, and leverage ratio. Finally, the cross sectional study provides very robust results on the correlation between individual stock return volatility and firm fundamentals.
Description: Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2004
ix, 67 leaves : ill. ; 30 cm
HKUST Call Number: Thesis FINA 2004 Zhou
Appears in Collections:FINA Master Theses

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