What drives idiosyncratic volatility over time?

• Type: Article in International Scientific Journal
• Date: 2008

Authors

Sousa, SR (Author) Other; Ana Paula Serra (Author) FEP

Journal

Title: Portuguese Economic Journal

Vol. 7 No. 3

Pages: 155-181

ISSN: 1617-982X

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 3 Citations

Scopus - 4 Citations

Other information

Authenticus ID: P-003-TR3

DOI: 10.1007/s10258-008-0031-7

Abstract (EN): We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991-2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in firm-specific volatility. On the contrary, the ratio of firm-specific risk to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to changes in the composition of the market.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 27