An Econometric Investigation of the Volatility and Market Efficiency of the U.S. Small Cap 600 Stock Index
作者： Michael Rogers , Godwin Onyeaso
DOI:
关键词: Volatility (finance) 、 Stock market 、 Incentive 、 Economics 、 Econometric model 、 Economic agents 、 Market efficiency 、 Financial economics 、 Stock market index 、 Stock (geology)
摘要: Using the framework of econometric models, this paper investigates three research questions and finds positive answers. First, is volatility Small Cap 600 predictable? Second, does exhibit same empirical regularities reported in literature about behavior other stock prices? Finally, can pass a test market efficiency? These results will benefit following entities: (1) economic agents investing 600, (2) business professors interested for teaching research, (3) policy makers who are watching volatilities because markets dampen investors ' incentive to invest, among consequences.
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jstor.org 参考文章(31)
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