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Market Volatility And Stock Correlation Instability
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Book Synopsis Market volatility and stock correlation instability by :
Download or read book Market volatility and stock correlation instability written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A diversificação, um dos fundamentos da Teoria Moderna de Carteiras e baseada na correlação entre ativos, se tornou importante ferramenta em modelos de alocação de recursos e gerenciamento de risco de carteiras. No entanto, estudos recentes apontam redução da eficiência da diversificação em períodos de maior volatilidade, quando ocorre o aumento da correlação entre as ações e que provoca graves distorções nos modelos que consideram a estabilidade da estrutura da matriz de correlação. A proposta deste trabalho é investigar a relação entre as variações da matriz de correlação de ações e a volatilidade do mercado, aplicando a metodologia apresentada por Jacquier e Marcus (2000) para o mercado de ações brasileiro e latino americano. Embora tenha apresentado resultados diferentes para os dois mercados de ações, verificou-se que o modelo indexado de um fator consegue explicar que grande parte das variações da matriz de correlação é explicada pela volatilidade dos respectivos mercados.
Book Synopsis No Contagion, Only Interdependence by : Kristin Forbes
Download or read book No Contagion, Only Interdependence written by Kristin Forbes and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.
Book Synopsis Market Share Instability and Stock Price Volatility During the Industry Life-Cycle by : Mariana Mazzucato
Download or read book Market Share Instability and Stock Price Volatility During the Industry Life-Cycle written by Mariana Mazzucato and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Market share instability, during certain stages of the industry life-cycle, has become a stylized fact in the industrial organization literature. In the finance literature, volatility in the form of excess volatility, i.e. the much larger volatility of stock prices than dividends (although stock prices should in theory trace the present value of future dividends), has given rise to controversies regarding stock price determination (Campbell and Shiller, 1988; Shiller, 1989). Recent evolutionary models, both theoretical and empirical, have tied the presence of market share instability to industry specific variables, such as specific periods in the industry life-cycle and specific quot;technological regimesquot;. The object of the paper is to explore whether there is a relationship between market share instability and stock price volatility and to what degree this relationship is connected to the concept of the industry life-cycle, and hence to industry specific factors. To do so, we explore the relationship in one particular industry, the US automobile industry. Since neither life-cycle nor finance theories attack this problem directly, we use insights from both approaches to build hypotheses which guide the data analysis. The empirical results confirm many of these hypotheses, suggesting that the degree of excess volatility is indeed partly affected by industry specific factors.
Book Synopsis International Market Correlation and Volatility by : Bruno H. Solnik
Download or read book International Market Correlation and Volatility written by Bruno H. Solnik and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Beast on Wall Street by : Robert A. Haugen
Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author :International Monetary Fund Publisher :International Monetary Fund ISBN 13 :9781557758521 Total Pages :226 pages Book Rating :4.7/5 (585 download)
Book Synopsis International Capital Markets by : International Monetary Fund
Download or read book International Capital Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1999-09-24 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following a review and assessment of recent developments in capital market and banking systems, this year's International Capital Markets report reviews and assesses recent developments in mature and emerging financial markets and continues the analysis of key issues affecting global financial markets. It examines the systemic implications of the continued rapid development of the global over-the-counter derivatives markets and the expansion of foreign-owned banks into emerging markets. The report also analyzes market participants' assessments of the proposals for private sector involvement in the prevention and resolution crises.
Book Synopsis The Persistence of Volatility and Stock Market Fluctuations by : James M. Poterba
Download or read book The Persistence of Volatility and Stock Market Fluctuations written by James M. Poterba and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected required rates of return for relatively short intervals. These findings lead us to be skeptical of recent claims that the stock market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia.
Book Synopsis International Market Correlation and Volatility by : Bruno H. Solnik
Download or read book International Market Correlation and Volatility written by Bruno H. Solnik and published by . This book was released on 1996 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation by : Hossein Asgharian
Download or read book Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation written by Hossein Asgharian and published by . This book was released on 2019 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on UK EPU shocks, while the UK long-run stock market variance depends significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is asymmetrical, with only positive shocks (increasing uncertainty) being important. Out-of-sample analysis shows that models with the US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock markets.
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author :New York Stock Exchange. Market Volatility and Investor Confidence Panel Publisher : ISBN 13 : Total Pages :396 pages Book Rating :4.:/5 ( download)
Book Synopsis Market Volatility and Investor Confidence by : New York Stock Exchange. Market Volatility and Investor Confidence Panel
Download or read book Market Volatility and Investor Confidence written by New York Stock Exchange. Market Volatility and Investor Confidence Panel and published by . This book was released on 1990 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge by : Tony Klein
Download or read book Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge written by Tony Klein and published by World Scientific. This book was released on 2022-06-07 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Finance and Risk Management is dedicated to our colleague, academic mentor, and adviser Professor Hermann Locarek-Junge. During his academic career, Hermann Locarek-Junge published several important contributions to the field of risk management and portfolio management and served as the chairman and board member of the German Finance Association (DGF) and the Data Science Society (Gesellschaft für Klassifikation).A short foreword by the mentors of Hermann Locarek-Junge and an introduction by the editors mark the beginning of the Festschrift. The first section on Modern Finance includes chapters on asset management, entrepreneurship, and behavioural finance. The second section on Modern Risk Management contains seven contributions covering considerations of risk measurement, risk management, and regulation. Finally, the third section includes topics on commodities and energy finance.This Festschrift comprises 20 original contributions of notable scholars in finance who have worked with Hermann Locarek-Junge over the last four decades. Due to numerous connections to practice and applications, Modern Finance and Risk Management is relevant and attractive not only to academics and researchers but also to practitioners in industry and banking.
Book Synopsis The link between volatility and correlation in international stock markets by : Roberto Moro Visconti
Download or read book The link between volatility and correlation in international stock markets written by Roberto Moro Visconti and published by . This book was released on 1994 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis The Margin-Volatility Relationship by : Francois M. Longin
Download or read book The Margin-Volatility Relationship written by Francois M. Longin and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the margin-volatility relationship in the U.S. stock market. In previous studies volatility has been measured by the variance of asset returns. Equity markets instability has, however, often been related to extreme price movements like stock market booms and crashes. These events indeed prompted the existing margin regulation. Using extreme value theory, I propose a new measure for volatility based on the tail index which reflects the weight of extremes in the distribution of asset returns. The tail index avoids many shortcomings of the variance. Statistical regressions show that there is no significant relationship between margin requirement and volatility and also no significant relationship between change in margin requirement and change in volatility.
Book Synopsis The Dynamics of Volatility and Correlation During Periods of Crisis by : Marcello Esposito
Download or read book The Dynamics of Volatility and Correlation During Periods of Crisis written by Marcello Esposito and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the 2007-2008 financial crisis, idiosyncratic and market volatilities across the world increased to level never seen before. The financial econometrics literature focused on the spectacular increase in aggregate idiosyncratic volatility. Bekaert, Hodrick, and Zhang (2012) showed the high correlation across countries, documenting how most of the time variation in idiosyncratic volatility can be attributed, among others, to variation in U.S. market volatility and a business cycle sensitive risk indicator. However, what worried most asset managers and commentators was not so much the increase in volatility per se but the dramatic increase in correlation between and within stock markets. A phenomenon interpreted by the financial press as a sort of structural break in stock market dynamics. Sandoval and De Paula (2011) studied the phenomenon of the increase in correlation during period of crisis. They found that markets tend to behave as one in time of crisis. I will show that it is possible to calibrate a simple dynamic CAPM model over the last 20 years that fits very well the observed dynamic of stock markets' volatility and correlation. I use the model to investigate if the 2007-8 environment should have been detrimental to bottom-up managers and favourable for top-down manager, as far as “alpha” creation is concerned. There is in fact a sort of consensus view about the fact that the increase in correlation observed during the 2007-2008 should have impaired the capabilities of bottom-up managers to produce alpha. As there is good and bad cholesterol, there is good and bad volatility for bottom-up alpha generators.
Book Synopsis The Impact of Model Instability on Long-Term Investors by : Bart F. Diris
Download or read book The Impact of Model Instability on Long-Term Investors written by Bart F. Diris and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take time-variation in volatility and correlation into account due to its high persistence, but can safely ignore time-variation in slope coefficients and intercepts due to its low persistence. Modeling time-variation in parameters with a random walk specification or a specification that pools persistence across parameters leads to a large overestimation of the riskiness of stock returns and an underinvestment in the stock market.
