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| Title: | A note on the time-series relationship between market industry concentration and market volatility |
| Author (s): | Xing, Xuejing |
| Department/Lab Affiliations: | Economics & Finance |
| Keywords: | EGARCH industry concentration market volatility |
| Issue Date: | 2003 |
| Publisher: | Elsevier |
| Citation: | Xing, Xuejing. "A Note on the Time-Series Relationship between Market Industry Concentration and Market Volatility", Journal of International Financial Markets, Institutions and Money , vol. 14, no. 2, pp. 105-115, 2004. |
| Abstract: | Using cross-sectional regression analysis, previous studies provide conflicting results regarding the relationship between market industry concentration and market volatility. This paper investigates this relationship in the time–series. Using data from twenty one developed markets and the world market, we find that this relationship is significant and positive in about 61% of the markets: the more concentrated the market, the more volatile the market. We also find that, in 70% of the markets, there exists a causal relationship between market industry concentration and market volatility and the direction of causality runs from the former to the latter. Our results suggest that market industrial structure is a significant factor in explaining market volatility. |
| Type: | Article text |
| Copyright Notice: | Pre-print: author can archive with restrictions;Restriction: This does not include Cell Press; Post-print: author can archive; This material is presented to ensure timely dissemination of scholarly and technical work. Copyright and all rights therein are retained by authors or by other copyright holders. All persons copying this information are expected to adhere to the terms and constraints invoked by each author's copyright. In most cases, these works may not be reposted without the explicit permission of the copyright holder. FULL COPYRIGHT INFORMATION: |
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| title | A note on the time-series relationship between market industry concentration and market volatility |
| contributor.author | Xing, Xuejing |
| contributor.deptlab | Economics & Finance |
| subject | EGARCH |
| subject | industry concentration |
| subject | market volatility |
| date.issued | 2003 |
| publisher | Elsevier |
| identifier.citation | Xing, Xuejing. "A Note on the Time-Series Relationship between Market Industry Concentration and Market Volatility", Journal of International Financial Markets, Institutions and Money , vol. 14, no. 2, pp. 105-115, 2004. |
| identifier.pub.URI | |
| description.abstract | Using cross-sectional regression analysis, previous studies provide conflicting results regarding the relationship between market industry concentration and market volatility. This paper investigates this relationship in the time–series. Using data from twenty one developed markets and the world market, we find that this relationship is significant and positive in about 61% of the markets: the more concentrated the market, the more volatile the market. We also find that, in 70% of the markets, there exists a causal relationship between market industry concentration and market volatility and the direction of causality runs from the former to the latter. Our results suggest that market industrial structure is a significant factor in explaining market volatility. |
| type | Article |
| type.DCMIType | text |
| type.status | Postprint |
| rights | Pre-print: author can archive with restrictions;Restriction: This does not include Cell Press; Post-print: author can archive; |
| rights | This material is presented to ensure timely dissemination of scholarly and technical work. Copyright and all rights therein are retained by authors or by other copyright holders. All persons copying this information are expected to adhere to the terms and constraints invoked by each author's copyright. In most cases, these works may not be reposted without the explicit permission of the copyright holder. |
| rights.URI | |
| date.available | 2008-07-08T17:13:40Z |
| identifier.persist.URI |