Is there a momentum effect in studying volatility uncertainty based on linear regression?

Ruisi Ye; Bei Lin; Yunze Dong

doi:10.1117/12.2672389

28 March 2023 Is there a momentum effect in studying volatility uncertainty based on linear regression?

Ruisi Ye, Bei Lin, Yunze Dong

Proceedings Volume 12597, Second International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2022); 1259743 (2023) https://doi.org/10.1117/12.2672389
Event: Second International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2022), 2022, Nanjing, China

Abstract

Reflected in the momentum effect on the price of the derivatives market, stock returns continue the original direction in price trends, which is different from the uncertainty of risk, the premium market volatility of volatility. Based on the formula established under the mathematical framework, the empirical evidence and explanation of volatility clustering are given through the linear regression analysis of system risk premium and behavioral finance overreaction and other factors. This research discovered that factors from the system risk premium were more persuasive, while factors from behavioral finance, do not exhibit convincing evidence.

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Ruisi Ye, Bei Lin, and Yunze Dong "Is there a momentum effect in studying volatility uncertainty based on linear regression?", Proc. SPIE 12597, Second International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2022), 1259743 (28 March 2023); https://doi.org/10.1117/12.2672389

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