Sharma, Susan Sunila; Narayan, Paresh Kumar; Zheng, Xinwei - In: Economic Systems 38 (2014) 2, pp. 205-220
In this paper, using time series data for the period 2 January 1998 to 31 December 2008 for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop an analytical framework motivating the firm-market...