The relationship between stock returns and volatility in the Philippine stock market: A semi-parametric approach
This paper studied the relationship between stock market returns and conditional volatility (variance) in the Philippine Stock Exchange Composite Index (PSEi). Empirical results in the literature are mixed relating to the sign of the risk-return trade-off. Most asset-pricing models (e.g., Sharpe, 19...
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| Format: | text |
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Animo Repository
2015
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| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/12444 |
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| Institution: | De La Salle University |