Have Japanese Individual Stocks Become More Volatile ? an Analysis Based on Risk Decomposition and the Implication for International Diversification

Abstract

This paper adopts the risk decomposition method developed by Campbell, Lettau, Malkiel and Xu(2001) to study volatility in the Japanese stock market for the period from 1976 to 1998. We believe this is the first study that investigates the Japanese stock market volatility in three components. Contrary to the US experience, both the idiosyncratic risk and… (More)

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