The Impact of Delivery Terms on Stock Return Volatility

The application of generalized ARCH models to daily stock returns shows that changes in delivery and payment termsare an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach allows fresh insights into stock return volatility and indicates that subsequent research on stock return volatility should incorporate the effects of payment delays

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Year of publication:	[2003]
Authors:	DeGennaro, Ramon P.
Other Persons:	Baillie, Richard (contributor)
Publisher:	[2003]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Journal of Financial Services Research, Vol. 3, No. 2 Volltext nicht verfügbar
Classification:	G1 - General Financial Markets ; G2 - Financial Institutions and Services
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012786651