strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to …

, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates …

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices … conditional correlations and volatility spillover effects across these markets. Each model is used to calculate the conditional …

them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to … average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average …