Measuring and Modeling Volatility using High Frequency Data - Does Corporate Social Responsibility Make Any Difference?

摘要

The first purpose of this paper is to determine if the volatility of stock prices of social responsible companies is different compared to volatility of stock prices of the companies which are not social responsible. We used for the empirical study High Frequency Data for 64 stocks of companies from both categories, for 20 trading days in June 2013. The results show that the volatility of stock prices is lower for social responsible companies. The second purpose is to determine the parameters estimates for the HEAVY Model used to forecast the short term volatility of WebMd Health Corporation stock prices.