Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon |
| |
Authors: | Kiseok Nam Chong Soo Pyun Sei-Wan Kim |
| |
Institution: | a Department of Economics and Finance, College of Business Administration, University of Texas Pan American, Edinburg, TX 78539, USA;b Department of Finance, Insurance and Real Estate, Fogelman College of Business and Economics, The University of Memphis, Memphis, TN 38152, USA;c Department of Economics, College of Business and Economics, California State University-Fullerton, Fullerton, CA 92834, USA |
| |
Abstract: | This paper applies asymmetric nonlinear smooth transition generalized autoregressive conditional heteroskedasticity (ANST-GARCH) models to the analysis of mean-reversion and time-varying volatility in weekly index returns of the stock markets of nine countries in the Pacific-basin. It finds that the returns exhibit an asymmetric pattern of return reversals, viz., on average, a negative return reverts more quickly, with a greater magnitude, to a positive return than a positive return reverting to a negative one. The asymmetric pattern of return reversals is directly associated with the unequal pricing behavior on the part of investors. Following a negative return shock, investors do not appear to require any additional premium to the leverage effect; instead they actually neutralize the risk in the form of a reduced premium! The reduction in risk premium causes not only the current stock price to rise but also the realized negative return to revert faster with a greater magnitude. |
| |
Keywords: | Asymmetric mean-reversion Nonlinear asymmetric GARCH model Pacific-basin stock markets |
本文献已被 ScienceDirect 等数据库收录! |
|