arbiter
JournalsPricingAccount

Positive Correlation between Systematic and Idiosyncratic Volatilities in Korean Stock Return

Kyu-Ho Bae & 김정욱

Seoul Journal of Business2018https://doi.org/10.35152/snusjb.2018.24.1.003article
ABDC C
Weight
0.26

What the paper says

Bartram, Brown, and Stulz (2016) report a strong positive correlation between systematic and idiosyncratic stock return volatilities and suggest heterogeneous firm-level responses to market wide shock may be an underlying driver. We test the hypothesis using Korean stock market data by including additional factors that reflect the macroeconomic conditions to the single factor model used in Bartram, Brown, and Stulz. Even though the correlation decreases by about 25% from 0.85 to 0.64 with additional factors, a substantial positive correlation still remains. In addition, we cannot find evidence that a high correlation industry experiences more volatile corporate sector dynamics in terms of changes in firm ranking and market share. [ABSTRACT FROM AUTHOR] Copyright of Seoul Journal of Business is the property of Seoul National University, College of Business Administration and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.35152/snusjb.2018.24.1.003

Or copy a formatted citation

@article{kyu-ho2018,
  title        = {{Positive Correlation between Systematic and Idiosyncratic Volatilities in Korean Stock Return}},
  author       = {Kyu-Ho Bae & 김정욱},
  journal      = {Seoul Journal of Business},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.35152/snusjb.2018.24.1.003},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Positive Correlation between Systematic and Idiosyncratic Volatilities in Korean Stock Return

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.