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Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates

  • Helena Chuliá
  • Hipòlit Torró
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

Several studies show that small cap returns tend to behave differently from large cap returns (Banz, 1981; Chan and Chen, 1991). This fact suggests that diversifying into small cap stocks might improve portfolio performance. In fact, the main empirical evidence on small cap returns shows that small caps distinguish themselves from large caps due to economic and market related characteristics (for a literature review on this topic see Petrella, 2005).

Keywords

Stock Return Conditional Volatility Volatility Spillover Multivariate GARCH Model Asymmetric Volatility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Helena Chuliá and Hipòlit Torró 2007

Authors and Affiliations

  • Helena Chuliá
  • Hipòlit Torró

There are no affiliations available

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