Testing volatility on the Trinidad and Tobago Stock Exchange
This paper estimates the responsiveness of sectoral subindex returns to changes in the domestic market portfolio, and compares predictions of nonsystematic risk using GARCH and EGARCH specifications of the error variance. Our results show that returns for the portfolios of Commercial Banks and Conglomerates respond more than proportionately to changes in the market portfolio, and that nonsystematic volatility appears to have been greater during periods of macroeconomic instability and political unrest.
Year of publication: |
2000
|
---|---|
Authors: | Leon, Hyginus ; Nicholls, Shelton ; Sergeant, Kelvin |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 10.2000, 2, p. 207-220
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Testing volatility on the Trinidad and Tobago Stock Exchange
Leon, Hyginus, (2000)
-
Testing volatility on the Trinidad and Tobago Stock Exchange
Leon, Hyginus, (2000)
-
The Trinidad and Tobago stock exchange : market performance and suggestions for further development
Sergeant, Kelvin, (1995)
- More ...