An Autoregressive Heteroskedastic in the Mean (ARCH‐M) Analysis of International Stock Market Indexes

Dimitrios Tsoukalas (School of Management, Purdue University Calumet, Hammond, USA)

Managerial Finance

ISSN: 0307-4358

Publication date: 1 December 2000

Abstract

This study examines predicability and volatility in three major stock markets, (the US, UK, and Japan) using the Vector Autoregressive Approach and the Multivariate Autoregressive Conditional Heteroskedastic‐in‐mean (ARCH‐M) approach. We find that in the three markets: a) stock returns are predictable, and b) there is persistence in the variance of stock returns, and c) predictability and persistence are attributed to common sources of information.

Keywords

Citation

Tsoukalas, D. (2000), "An Autoregressive Heteroskedastic in the Mean (ARCH‐M) Analysis of International Stock Market Indexes", Managerial Finance, Vol. 26 No. 12, pp. 46-56. https://doi.org/10.1108/03074350010767043

Download as .RIS

Publisher

:

MCB UP Ltd

Copyright © 2000, MCB UP Limited

Please note you might not have access to this content

You may be able to access this content by login via Shibboleth, Open Athens or with your Emerald account.
If you would like to contact us about accessing this content, click the button and fill out the form.
To rent this content from Deepdyve, please click the button.