The Risk Return Relationship: Evidence from Index Return and Realised Variance Series

32 Pages Posted: 25 Mar 2014 Last revised: 20 Aug 2019

See all articles by Minxian Yang

Minxian Yang

UNSW Australia Business School, School of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: March 24, 2014

Abstract

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation between the return and RV, and the difference in the autocorrelation structures of the return and RV.

Keywords: risk premium, volatility feedback, return predictability, realised variance model, statistical balance

JEL Classification: C32, C52, G12, G10

Suggested Citation

Yang, Minxian, The Risk Return Relationship: Evidence from Index Return and Realised Variance Series (March 24, 2014). UNSW Australian School of Business Research Paper No. 2014-16. Available at SSRN: https://ssrn.com/abstract=2414180 or http://dx.doi.org/10.2139/ssrn.2414180

Minxian Yang (Contact Author)

UNSW Australia Business School, School of Economics ( email )

School of Economics
The University of New South Wales
Sydney, NSW NSW 2052
Australia
93853353 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
57
Abstract Views
424
rank
305,789
PlumX Metrics