Physical Sciences and Mathematics Commons^™

Modelling Stock Returns In 'Volatility-In-Mean' Framework Under Up And Down Market Movements, Srikanta Kundu Dr.

Doctoral Theses

The first chapter of this thesis begins with a brief review of the existing literature on empirical studies on stock returns, especially those in the context of the relationship between risk and return, at both univariate and multivariate levels. In the next section, studies on the relationship between stock return and monetary policy are reviewed. The motivation of this work is discussed in Section 1.4. Finally, the format of the thesis is given in Section 1.5.A Brief Review of the Literature on Risk-Return Relationship-Both Univariate and Multivariate Cases. In this section, we first present a brief review of this literature …