Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models

Darrat, Ali F., Gilley, Otis W., Li, Bin and Wu, Yanhui (2011) Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models. Journal of Business Research, 64 2: 199-206. doi:10.1016/j.jbusres.2010.02.008


Author Darrat, Ali F.
Gilley, Otis W.
Li, Bin
Wu, Yanhui
Title Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models
Journal name Journal of Business Research   Check publisher's open access policy
ISSN 0148-2963
1873-7978
Publication date 2011-02-01
Year available 2010
Sub-type Article (original research)
DOI 10.1016/j.jbusres.2010.02.008
Volume 64
Issue 2
Start page 199
End page 206
Total pages 8
Place of publication New York NY, United States
Publisher Elsevier
Language eng
Abstract This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results significantly vary across model specifications, the overall evidence from GARCH models supports a significantly positive risk/return relation in several markets but only prior to the Asian financial crisis. These results accord with Glosten et al. (1993) and Harvey (2001) and suggest that the relative risk aversion is sensitive to both model specifications and structural breaks.
Keyword Relative risk aversion
Structural breaks
Asian Pacific markets
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Available online 31 May 2010

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2012 Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 7 times in Thomson Reuters Web of Science Article | Citations
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Created: Sun, 20 Mar 2011, 10:10:41 EST