文章基本信息

标题：Microeconomic and Contextual Factors and the Volatility of Returns on the Main Shares Traded in Brazil
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作者：César Nazareno Caselani ; William Eid Jr.
期刊名称：RAC - Eletrônica
印刷版ISSN：1981-5700
出版年度：2008
卷号：2
期号：2
页码：330-350
出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
摘要：The results of this study corroborate leverage theory. It was observed that stock return volatility is influenced by the company leverage. Stock return volatility follows the persistent behavior suggested by feedback theory. There is a positive association between stock turnover and stock volatility, corroborating feedback theory and divergence of opinion theory. The association between real interest rates and stock return volatility showed positive and significant results, signalizing that perception of higher risk increases volatility. The study results showed that Brazilian stock market is not dependent of U.S. stock market. There is a negative association between Brazilian GNP and stock return volatility. While less significant, results showed more volatility associated with preferred stocks. Concerning the adoption of good corporate governance practices, the results of this study corroborate the argument that better corporate governance reduces stock risk.
关键词：capital markets ; return volatility ; stock liquidity.