The relationship between stock returns and volatility in the Philippine stock market: A semi-parametric approach

• Main Author: Tomaliwan, Maria Francesca D.
• Format: text
• Published: Animo Repository 2015
• Subjects: Stock exchanges—Philippines; Economics—Philippines—Statistical methods; Econometrics; Economics; Social and Behavioral Sciences
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/12444
• Institution: De La Salle University

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...