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Does the Financial Leverage Effect Depend on Volatility Regimes?
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chon, Sora | - |
| dc.contributor.author | Kim, Jaeho | - |
| dc.date.accessioned | 2023-08-16T07:42:10Z | - |
| dc.date.available | 2023-08-16T07:42:10Z | - |
| dc.date.issued | 2021-03 | - |
| dc.identifier.issn | 1544-6123 | - |
| dc.identifier.issn | 1544-6131 | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/erica/handle/2021.sw.erica/114109 | - |
| dc.description.abstract | This paper investigates how the financial leverage effect changes across different volatility regimes. To test for regime dependency in the leverage effect, we introduce a new regime switching stochastic volatility model and apply the model to daily Standard and Poor's 500 and NASDAQ return data. Our empirical analysis that uses Bayesian inference reveals that the leverage effect is reinforced when financial markets enter into high or medium-high volatility regimes. | - |
| dc.format.extent | 7 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | Elsevier BV | - |
| dc.title | Does the Financial Leverage Effect Depend on Volatility Regimes? | - |
| dc.type | Article | - |
| dc.publisher.location | 미국 | - |
| dc.identifier.doi | 10.1016/j.frl.2020.101600 | - |
| dc.identifier.scopusid | 2-s2.0-85085700595 | - |
| dc.identifier.wosid | 000624351500033 | - |
| dc.identifier.bibliographicCitation | Finance Research Letters, v.39, pp 1 - 7 | - |
| dc.citation.title | Finance Research Letters | - |
| dc.citation.volume | 39 | - |
| dc.citation.startPage | 1 | - |
| dc.citation.endPage | 7 | - |
| dc.type.docType | 정기학술지(Article(Perspective Article포함)) | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance | - |
| dc.subject.keywordAuthor | Leverage effect | - |
| dc.subject.keywordAuthor | Regime switching | - |
| dc.subject.keywordAuthor | Stochastic volatility | - |
| dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S1544612320301872?pes=vor | - |
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