An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market
Publication type: Journal Article
Publication date: 2018-10-27
SJR: —
CiteScore: —
Impact factor: —
ISSN: 18498558, 25843222
Abstract
Financial theory suggests that volatility affects average stock returns positively. It is claimed that markets reward economic agents for the risk they assume with higher returns. This study uses an ARMA (1, 2)-GARCH (1, 1)-M technique to examine the impact of volatility on BRVM stock returns in the integrated regional West African stock market. A positive but insignificant relationship was found between volatility and stock returns. The study concludes that there is no significant feedback from volatility to average returns in the stock market. Our findings indicate that investors are not compensated for taking risks in the regional stock market.
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Total citations:
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Citations from 2024:
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(40%)
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GOST
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Olasehinde Williams G. An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market // Journal of International Business Research and Marketing. 2018. Vol. 3. No. 5. pp. 7-11.
GOST all authors (up to 50)
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Olasehinde Williams G. An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market // Journal of International Business Research and Marketing. 2018. Vol. 3. No. 5. pp. 7-11.
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RIS
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TY - JOUR
DO - 10.18775/jibrm.1849-8558.2015.35.3001
UR - https://doi.org/10.18775/jibrm.1849-8558.2015.35.3001
TI - An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market
T2 - Journal of International Business Research and Marketing
AU - Olasehinde Williams, Godwin
PY - 2018
DA - 2018/10/27
PB - Inovatus Usluge d.o.o.
SP - 7-11
IS - 5
VL - 3
SN - 1849-8558
SN - 2584-3222
ER -
Cite this
BibTex (up to 50 authors)
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@article{2018_Olasehinde Williams,
author = {Godwin Olasehinde Williams},
title = {An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market},
journal = {Journal of International Business Research and Marketing},
year = {2018},
volume = {3},
publisher = {Inovatus Usluge d.o.o.},
month = {oct},
url = {https://doi.org/10.18775/jibrm.1849-8558.2015.35.3001},
number = {5},
pages = {7--11},
doi = {10.18775/jibrm.1849-8558.2015.35.3001}
}
Cite this
MLA
Copy
Olasehinde Williams, Godwin. “An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market.” Journal of International Business Research and Marketing, vol. 3, no. 5, Oct. 2018, pp. 7-11. https://doi.org/10.18775/jibrm.1849-8558.2015.35.3001.