Positive IVOL-MAX effect: A Study on the Singapore Stock Market

Syed Ali; M Arifur Rahman; Mohammad Nurul Hasan; Ralf Östermark

doi:10.1016/j.najef.2020.101245

Positive IVOL-MAX effect: A Study on the Singapore Stock Market

Syed Ali, M Arifur Rahman, Mohammad Nurul Hasan, Ralf Östermark

Research output: Contribution to journal › Article › Scientific › peer-review

3 Citations (Scopus)

11 Downloads (Pure)

Abstract

This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.

Original language	English
Article number	101245
Pages (from-to)	–
Journal	The North American Journal of Economics and Finance
Volume	54
DOIs	https://doi.org/10.1016/j.najef.2020.101245
Publication status	Published - 2020
MoE publication type	A1 Journal article-refereed

Access to Document

10.1016/j.najef.2020.101245

mauscript_sin_AE_(11 NOV 2019)Accepted author manuscript, 673 KBLicence: CC BY-NC-ND

Cite this

@article{993d1070a7a84cf68f29a3e3f88ba99e,

title = "Positive IVOL-MAX effect: A Study on the Singapore Stock Market",

abstract = "This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock{\textquoteright}s idiosyncratic volatility (IVOL) and its subsequent month{\textquoteright}s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month{\textquoteright}s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.",

author = "Syed Ali and {Arifur Rahman}, M and {Nurul Hasan}, Mohammad and Ralf {\"O}stermark",

note = "beg{\"a}rt fil 5.10.2020",

year = "2020",

doi = "10.1016/j.najef.2020.101245",

language = "English",

volume = "54",

pages = "–",

journal = "The North American Journal of Economics and Finance",

issn = "1062-9408",

publisher = "Elsevier",

}

TY - JOUR

T1 - Positive IVOL-MAX effect: A Study on the Singapore Stock Market

AU - Ali, Syed

AU - Arifur Rahman, M

AU - Nurul Hasan, Mohammad

AU - Östermark, Ralf

N1 - begärt fil 5.10.2020

PY - 2020

Y1 - 2020

N2 - This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.

AB - This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.

U2 - 10.1016/j.najef.2020.101245

DO - 10.1016/j.najef.2020.101245

M3 - Article

SN - 1062-9408

VL - 54

SP - –

JO - The North American Journal of Economics and Finance

JF - The North American Journal of Economics and Finance

M1 - 101245

ER -

Positive IVOL-MAX effect: A Study on the Singapore Stock Market

Abstract

Access to Document

Fingerprint

Cite this