文章基本信息

标题：Seasonality of Cross-sectional Return Volatility in the Jordan Stock Market
本地全文：下载
作者：Malik R. Elhaj ; Shah Saeed H. Chowdhury
期刊名称：Universal Journal of Accounting and Finance
印刷版ISSN：2331-9712
电子版ISSN：2331-9720
出版年度：2016
卷号：4
期号：5
页码：157-165
DOI：10.13189/ujaf.2016.040502
语种：English
出版社：Horizon Research Publishing
摘要：One important gap in finance literature is the seasonality in volatility. Just like the seasonality in stock returns it is possible that volatility may also have a pattern. Time series volatility is related to previous values and it is sticky in nature. Thus, detection of seasonality in volatility may be difficult. Therefore, we use cross-sectional volatility from daily returns of a cross-section of firms (in our case, sectors) and examine the relationship between daily cross-sectional volatility and day of the week, turn of the month and turn of the year. This paper examines how the cross-sectional volatility of the Jordanian stock market may change due to the day of the week, turn of the month and turn of the year. Results show strong evidence of reduction of volatility on Thursday compared to Sunday, and significantly lower volatility on the first three days of the month compared to the third day before the last day of the month. Thus, this finding is important for investors to better understand risk.
关键词：Cross-sectional Volatility;Amman Stock Market;Capital Market;Seasonality of Volatility;Emerging Markets.