This paper computes Herfindahl-Hirschman ownership dispersion from EPFR holdings data and documents that stocks scoring poorly on this measure tend to be more volatile than, and underperform, stocks scoring well

Autoregressive conditional heteroskedasticity models are found in consequence of heteroskedasticity problem in financial time series. In our study, we find that returns of the Istanbul Stock Exchange Food And Beverage Index have an ARCH effect but they have not a unit root problem according to...