Stock return volatility and the internet phenomenon

Abstract

This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?’1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also employed with an additional regressor (the market return) to observe the trend of time-varying betas.