Title: The international risk-return relationships during up and down markets: a reassessment

Authors: Gordon Y.N. Tang, Wai Cheong Shum

Addresses: Department of Finance and Decision Sciences, Hong Kong Baptist University, Kowloon Tong, Kowloon, Hong Kong, China. ' School of Business and Administration, The Open University of Hong Kong, Ho Man Tin, Kowloon, Hong Kong, China

Abstract: Applying a multiple regression model, this paper re-examines the monthly and weekly risk-return relationships of 13 international stock markets during up and down markets. Our model corrects the effects of heteroskedasticity and autocorrelation of the residuals using the method of Newey and West (1987). Our results provide reliable evidence that not only beta, but also unsystematic risk and skewness are useful and relevant risk measures in international stock markets.

Keywords: beta; skewness; international markets; up and down markets; risk-return relationships; stock markets; risk measures.

DOI: 10.1504/IJSSS.2008.020048

International Journal of Society Systems Science, 2008 Vol.1 No.1, pp.100 - 111

Published online: 21 Aug 2008 *

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