文章基本信息

标题：The Mixture Of Distribution Hypothesis And The Russian Stock Market
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作者：Giorgio Canarella ; Stephen K. Pollard
期刊名称：Journal of Business & Economics Research
印刷版ISSN：1542-4448
电子版ISSN：2157-8893
出版年度：2011
卷号：1
期号：11
语种：English
出版社：The Clute Institute for Academic Research
摘要：According to the mixture of distributions hypothesis (MDH), a serially correlated mixture of variables measuring the rate at which information arrives to the market explains the GARCH effects in stock returns. While reasonable amount of empirical evidence supports this hypothesis for developed, highly liquid stock markets in industrial countries, the current literature does not provide much findings for stock markets in countries that have recently experienced the transition from economic planning to capitalism. Hence, the purpose of this paper is to provide a first piece of evidence for one of the newly created stock market, the Russian stock market. Examination of the relationship between risk, returns, volatility and volume existing in the Russian stock market provides evidence in support of the MDH and suggests that even in emerging and turbulent markets risk and returns are jointly integrated to the flow of information arriving to the market.