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Volatility Clustering within Industries: An Empirical Investigation

American journal of business, 2007-10, Vol.22 (2), p.33-44 [Peer Reviewed Journal]

Emerald Group Publishing Limited ;Copyright Ball State University Fall 2007 ;ISSN: 1935-5181 ;ISSN: 1935-519X ;EISSN: 1935-5181 ;DOI: 10.1108/19355181200700008

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Title:
Volatility Clustering within Industries: An Empirical Investigation
Author: Chen, Manfen W. ; Zhu, Jianzhou
Subjects: Banking industry ; Deposit insurance ; Deregulation ; Equity ; Financial Services Modernization Act 1999-US ; Hypotheses ; Information and market efficiency ; Investments ; Macroeconomic news ; Macroeconomics ; Portfolio management ; Rates of return ; REITs ; Stochastic models ; Stock exchanges ; Stock prices ; Studies ; Volatility
Is Part Of: American journal of business, 2007-10, Vol.22 (2), p.33-44
Description: This paper examines the clustering of return volatility within industries by comparing the short-run responses of stock returns to the arrival of macroeconomic news across several industries. We hypothesize that some industries have distinctive qualities which influence the sensitivity of companies' equity value to information releases. To test this hypothesis, we sample intraday stock price data of ten firms from three industries - General Industry, Banking, and Real Estate Trusts - and conduct the Brown-Forsythe-Modified Levene tests. The evidence shows that there exist different degrees of responses to the release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General Industry, less strong in Banking, and weak in Real Estate Investment Trusts.
Publisher: Bingley: Emerald Group Publishing Limited
Language: English
Identifier: ISSN: 1935-5181
ISSN: 1935-519X
EISSN: 1935-5181
DOI: 10.1108/19355181200700008
Source: ProQuest One Psychology
AUTh Library subscriptions: ProQuest Central
Alma/SFX Local Collection

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Volatility Clustering within Industries: An Empirical Investigation

Emerald Group Publishing Limited ;Copyright Ball State University Fall 2007 ;ISSN: 1935-5181 ;ISSN: 1935-519X ;EISSN: 1935-5181 ;DOI: 10.1108/19355181200700008

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