Asymmetric Volatility And Cross Correlations In Stock Returns Under Risk And Uncertainty

Date Added: Dec 2009
Format: PDF

Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If Efficient Market Hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems in these markets.