A quantile-based analysis of risk-return dynamics in the South African equity market-Reference-Cited by-同舟云学术

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A quantile-based analysis of risk-return dynamics in the South African equity market

Published:2023-04-03 Issue:2 Volume:52 Page:153-173
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

Chawana Munyaradzi¹,Botha Ilse²,Stander Yolanda³

Affiliation:

1. S&P Global Ratings, 30 Jellicoe Avenue Rosebank Johannesburg, 2196, South Africa

2. School of Accounting, College of Business and Economics, University of Johannesburg, Johannesburg, South Africa

3. Investec, Senior research associate at University of Johannesburg, Johannesburg, South Africa

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2023.2198753

Reference42 articles.

1. The leverage effect puzzle: Disentangling sources of bias at high frequency

2. Firm-level political risk and asymmetric volatility

3. Structural breaks and GARCH models of stock return volatility: The case of South Africa

4. The asymmetric effects of industry specific volatility in momentum returns

5. Quantile Regression Analysis of the Asymmetric Return-Volatility Relation

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