The risk-return relations: Evidence from the Korean and Taiwan stock markets

Gordon Y N TANG*, Wai Cheong Shum

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    9 Citations (Scopus)

    Abstract

    This article examines the risk-return relations conditional on up and down market periods in the Korean and Taiwan stock markets. Based on statistical tests adjusted for the effects of heteroskedasticity and autocorrelation of the residuals, beta is found positively (negatively) related to realized returns in up (down) markets. However, the results are sensitive to portfolio aggregation methods. Its role as a risk measure vanishes in down markets for the two-way (beta-size and size-beta) sorted portfolios. Unsystematic risk is significantly and positively priced only in up markets and mainly for beta-sorted portfolios while total risk is correctly priced except in Taiwan during down markets. Moreover, the impact of skewness and kurtosis on realized returns is not only sensitive to portfolio aggregation methods but also different across stock markets. They are found to be more relevant risk characteristics in the Korean than in the Taiwan stock market.

    Original languageEnglish
    Pages (from-to)1905-1919
    Number of pages15
    JournalApplied Economics
    Volume39
    Issue number15
    DOIs
    Publication statusPublished - Aug 2007

    Scopus Subject Areas

    • Economics and Econometrics

    Fingerprint

    Dive into the research topics of 'The risk-return relations: Evidence from the Korean and Taiwan stock markets'. Together they form a unique fingerprint.

    Cite this