Positive IVOL-MAX effect: A study on the Singapore Stock Market |
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Affiliation: | 1. College of Business Administration, Incheon National University, South Korea;2. Seoul National University Business School, South Korea |
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Abstract: | This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX. |
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Keywords: | Singapore Stock Market Idiosyncratic volatility Extreme return MAX ans IVOL effect |
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