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    Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets

    Gan, Christopher; Nartea, GV; Wu, J
    Abstract
    We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ a stock's past three-year weekly return to compute idiosyncratic volatility. Second, we use a stock's past three-year maximum weekly return to create a MAX measure. We find that both IVOL and MAX are significant and negatively related to the one month ahead stock return. Both effects co-exist in the Hong Kong stock markets and are robust after controlling for the financial crisis, January effect, and tiny stocks.... [Show full abstract]
    Keywords
    total volatility; idiosyncratic volatility; maximum weekly returns; asset pricing; weekly data; Hong Kong stock markets
    Fields of Research
    150205 Investment and Risk Management
    Date
    2018-09
    Type
    Journal Article
    Collections
    • Department of Financial and Business Systems [554]
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    DOI
    https://doi.org/10.1016/j.frl.2017.11.007
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    © 2017 Elsevier Inc. All rights reserved.
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