Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector
This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Croatian Metallurgical Society
2015-01-01
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| Series: | Metalurgija |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/file/187242 |
| _version_ | 1818390357731180544 |
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| author | V. Chirila C. Chirila |
| author_facet | V. Chirila C. Chirila |
| author_sort | V. Chirila |
| collection | DOAJ |
| description | This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return and volatility, relationship between return and volatility and volatility asymmetry. The results obtained confirm for all the analyzed stocks the existence of volatility variation in time, the lack of correlation between return and volatility, the existence of asymmetry phenomenon of volatility and the presence in some stocks of the seasonality effect both for return and volatility. |
| first_indexed | 2024-12-14T04:56:21Z |
| format | Article |
| id | doaj.art-0283abf081614032b8dd7c28a78367c0 |
| institution | Directory Open Access Journal |
| issn | 0543-5846 1334-2576 |
| language | English |
| last_indexed | 2024-12-14T04:56:21Z |
| publishDate | 2015-01-01 |
| publisher | Croatian Metallurgical Society |
| record_format | Article |
| series | Metalurgija |
| spelling | doaj.art-0283abf081614032b8dd7c28a78367c02022-12-21T23:16:21ZengCroatian Metallurgical SocietyMetalurgija0543-58461334-25762015-01-01541251253Stock return, seasonality and asymmetric conditional volatility in steel & iron subsectorV. ChirilaC. ChirilaThis paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return and volatility, relationship between return and volatility and volatility asymmetry. The results obtained confirm for all the analyzed stocks the existence of volatility variation in time, the lack of correlation between return and volatility, the existence of asymmetry phenomenon of volatility and the presence in some stocks of the seasonality effect both for return and volatility.http://hrcak.srce.hr/file/187242steel & iron subsectorstockreturnconditional volatilityEurope |
| spellingShingle | V. Chirila C. Chirila Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector Metalurgija steel & iron subsector stock return conditional volatility Europe |
| title | Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector |
| title_full | Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector |
| title_fullStr | Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector |
| title_full_unstemmed | Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector |
| title_short | Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector |
| title_sort | stock return seasonality and asymmetric conditional volatility in steel iron subsector |
| topic | steel & iron subsector stock return conditional volatility Europe |
| url | http://hrcak.srce.hr/file/187242 |
| work_keys_str_mv | AT vchirila stockreturnseasonalityandasymmetricconditionalvolatilityinsteelironsubsector AT cchirila stockreturnseasonalityandasymmetricconditionalvolatilityinsteelironsubsector |