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/lp/emerald-publishing/volatility-clustering-within-industries-an-empirical-investigation-0qYFGB1Kww
- Publisher
- Emerald Publishing
- Copyright
- Copyright © 2007 Emerald Group Publishing Limited. All rights reserved.
- ISSN
- 1935-5181
- DOI
- 10.1108/19355181200700008
- Publisher site
- See Article on Publisher Site
Abstract
This paper examines the clustering of return volatility within industries by comparing the short‐run responses of stock returns to the arrival of macroeconomic news across several industries. We hypothesize that some industries have distinctive qualities which influence the sensitivity of companies’ equity value to information releases. To test this hypothesis, we sample intraday stock price data of ten firms from three industries ‐ General Industry, Banking, and Real Estate Trusts ‐ and conduct the Brown‐Forsythe‐Modified Levene tests. The evidence shows that there exist different degrees of responses to the release of macroeconomic news and consequently different degrees of return volatility clustering: strongest in General Industry, less strong in Banking, and weak in Real Estate Investment Trusts.
Journal
American Journal of Business – Emerald Publishing
Published: Jan 1, 2007
Keywords: Information and market efficiency; Macroeconomic news; volatility