Derivatives And Asymmetric Response Of Volatility To News In Indian Stock Market

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Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market

Author : Puja Padhi
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market by : Puja Padhi

Download or read book Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market written by Puja Padhi and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this article is to investigate the effect of the introduction of stock index futures on the volatility of the spot equity market and to test the impact of the introduction of the stock index futures contracts, a GARCH model is modified along the lines of GJR-GARCH and EGARCH model, especially to take into account the link between information and volatility. This paper provides the evidence that there is not much change in the volatility pattern after the introduction of futures in the Indian stock market. The impacts of futures trading for the post futures period can be captured by the asymmetric coefficient (gamma), suggest that there is a statistically significant and positive asymmetric effect. Thus the introduction of futures trading has impact on the asymmetric coefficient. It shows the similar pattern for the pre and post futures period. Empirical research can be further expanded by selecting and analyzing high frequency intraday data and the inclusion of additional economic variables in the conditional variance equation.

Volatility Persistence and Asymmetric Effect in Indian Stock Market

Author : Dr. Arpit Sidhu
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility Persistence and Asymmetric Effect in Indian Stock Market by : Dr. Arpit Sidhu

Download or read book Volatility Persistence and Asymmetric Effect in Indian Stock Market written by Dr. Arpit Sidhu and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study analyses the attributes of randomness in Indian securities exchange. Unpredictability in the NSE and its underlying indices show highlights of mean reversion and a reasonable level of volatility perseverance, evaluations of which give a thought of the effect and length of a specific information stun to the market. The profits unpredictability is found to show huge leverage impact and uneven reaction. The present study revolves around the idea of volatility in stock market of India, to look at the amount of volatility persistence in the National stock exchange (NSE), and to inspect the presence of leverage impact in the NSE. The daily closing prices data of selected NSE indices from 1 April, 1995 to 31, December, 2018 are collected to examine the extentof asymmetric effect in Indian stock market. Through the present investigation we came to realize that CNX IT is increasingly unstable and furthermore shows abnormal conduct as it is progressively influenced by positive news though CNX 200 shows most elevated leverage effect and asymmetric reaction, additionally CNX SERVICE which is a record with high instability perseverance, and among all indices CNX FMCG shows least volatility persistence. Results will be helpful to market participants and all other stakeholders for future investments and further research on volatility can be extended to other segments (derivatives, swaps and other macroeconomic variables) using quintile regression and other advanced GARCH family models.

Forecasting Financial Markets in India

Author : Rudra Prakash Pradhan
Publisher : Allied Publishers
ISBN 13 : 9788184244267
Total Pages : 224 pages
Book Rating : 4.2/5 (442 download)

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Book Synopsis Forecasting Financial Markets in India by : Rudra Prakash Pradhan

Download or read book Forecasting Financial Markets in India written by Rudra Prakash Pradhan and published by Allied Publishers. This book was released on 2009 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers presented at the Forecasting Financial Markets in India, held at Kharagpur during 29-31 December 2008.

PROCEEDINGS OF NATIONAL SEMINAR ON MULTIDISCIPLINARY RESEARCH AND PRACTICE VOLUME 2

Author : Dr. M. Kanika Priya
Publisher : JEC PUBLICATION
ISBN 13 : 9357499679
Total Pages : 1220 pages
Book Rating : 4.3/5 (574 download)

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Book Synopsis PROCEEDINGS OF NATIONAL SEMINAR ON MULTIDISCIPLINARY RESEARCH AND PRACTICE VOLUME 2 by : Dr. M. Kanika Priya

Download or read book PROCEEDINGS OF NATIONAL SEMINAR ON MULTIDISCIPLINARY RESEARCH AND PRACTICE VOLUME 2 written by Dr. M. Kanika Priya and published by JEC PUBLICATION. This book was released on with total page 1220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Conference Proceedings of the National Seminar entitled “Multidisciplinary Research and Practice” compiled by Dr. M. Kanika Priya records various research papers written by eminent scholars, professors and students. The articles range from English literature to Tamil literature, Arts, Humanities, Social Science, Education, Performing Arts, Information and Communication Technology, Engineering, Technology and Science, Medicine and Pharmaceutical Research, Economics, Sociology, Philosophy, Business, Management, Commerce and Accounting, Teacher Education, Higher Education, Primary and Secondary Education, Law, Science (Mathematics, Physics, Chemistry, Zoology, Botany), Agriculture and Computer Science. Researchers and faculty members from various disciplines have contributed their research papers. This book contains articles in Three languages, namely: English, Tamil and Hindi. As a editor Dr. M. Kanika Priya has taken up the tedious job of checking the validity and correctness of the research work in bringing out this conference proceedings in a beautiful manner. In its present shape and size, this anthology will, hopefully, find a place on the library shelves and enlighten the academics all round the world.

Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics

Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)

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Book Synopsis Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics by : Seungho Jung

Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Capital Inflows and Real Exchange Rate Appreciation in Latin America

Author : Guillermo A. Calvo
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Capital Inflows and Real Exchange Rate Appreciation in Latin America by : Guillermo A. Calvo

Download or read book Capital Inflows and Real Exchange Rate Appreciation in Latin America written by Guillermo A. Calvo and published by . This book was released on 1992 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Derivatives and Hedge Funds

Author : Stephen Satchell
Publisher : Springer
ISBN 13 : 1137554177
Total Pages : 416 pages
Book Rating : 4.1/5 (375 download)

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Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell

Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.

Reserve Bank of India Occasional Papers

Author :
Publisher :
ISBN 13 :
Total Pages : 612 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Reserve Bank of India Occasional Papers by :

Download or read book Reserve Bank of India Occasional Papers written by and published by . This book was released on 2003 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

The Foreign Exchange Market

Author : Richard T. Baillie
Publisher : Cambridge University Press
ISBN 13 : 9780521396905
Total Pages : 280 pages
Book Rating : 4.3/5 (969 download)

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Book Synopsis The Foreign Exchange Market by : Richard T. Baillie

Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.

A Behavioral Approach to Asset Pricing

Author : Hersh Shefrin
Publisher : Elsevier
ISBN 13 : 0080482244
Total Pages : 636 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis A Behavioral Approach to Asset Pricing by : Hersh Shefrin

Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition

McMillan on Options

Author : Lawrence G. McMillan
Publisher : John Wiley & Sons
ISBN 13 : 1118045882
Total Pages : 672 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis McMillan on Options by : Lawrence G. McMillan

Download or read book McMillan on Options written by Lawrence G. McMillan and published by John Wiley & Sons. This book was released on 2011-02-15 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Legendary trader Larry McMillan does it-again-offering his personal options strategies for consistently enhancing trading profits Larry McMillan's name is virtually synonymous with options. This "Trader's Hall of Fame" recipient first shared his personal options strategies and techniques in the original McMillan on Options. Now, in a revised and Second Edition, this indispensable guide to the world of options addresses a myriad of new techniques and methods needed for profiting consistently in today's fast-paced investment arena. This thoroughly new Second Edition features updates in almost every chapter as well as enhanced coverage of many new and increasingly popular products. It also offers McMillan's personal philosophy on options, and reveals many of his previously unpublished personal insights. Readers will soon discover why Yale Hirsch of the Stock Trader's Almanac says, "McMillan is an options guru par excellence."

Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance

Author : El Bachir Boukherouaa
Publisher : International Monetary Fund
ISBN 13 : 1589063953
Total Pages : 35 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa

Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

The Evidence and Impact of Financial Globalization

Author :
Publisher : Academic Press
ISBN 13 : 012405899X
Total Pages : 807 pages
Book Rating : 4.1/5 (24 download)

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Book Synopsis The Evidence and Impact of Financial Globalization by :

Download or read book The Evidence and Impact of Financial Globalization written by and published by Academic Press. This book was released on 2012-12-31 with total page 807 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. Substantial articles by top scholars sets this volume apart from other information sources Rapidly developing subjects will interest readers well into the future Reader demand and lack of competitors underline the high value of these reference works

Market Volatility and Foreign Exchange Intervention in EMEs

Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher :
ISBN 13 : 9789291319626
Total Pages : 0 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico

Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Food Price Volatility and Its Implications for Food Security and Policy

Author : Matthias Kalkuhl
Publisher : Springer
ISBN 13 : 3319282018
Total Pages : 620 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Food Price Volatility and Its Implications for Food Security and Policy by : Matthias Kalkuhl

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Forecasting Volatility in the Financial Markets

Author : Stephen Satchell
Publisher : Elsevier
ISBN 13 : 0080471420
Total Pages : 428 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Forecasting Volatility in the Financial Markets by : Stephen Satchell

Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling