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- Title
The Impact of Delivery Terms on Stock Return Volatility.
- Authors
Baillie, Richard T.; Degennaro, Ramon P.
- Abstract
The application of generalized ARCH models to daily stock returns shows changes in delivery and payment terms to be an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach allows fresh insights into stock return volatility and indicates that subsequent research on stock return volatility should incorporate the effects of payment delays.
- Subjects
STOCKS (Finance); FINANCIAL markets; SECURITIES; MARKET volatility; HEDGING (Finance); PAYMENT
- Publication
Journal of Financial Services Research, 1989, Vol 3, Issue 1, p55
- ISSN
0920-8550
- Publication type
Article
- DOI
10.1007/BF00114078