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Modeling Stock Market Volatility In Emerging Markets
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Book Synopsis Modeling Stock Market Volatility in Emerging Markets by : Bhaskkar Sinha
Download or read book Modeling Stock Market Volatility in Emerging Markets written by Bhaskkar Sinha and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study models the volatility present in the inter day returns in the stock of the two major national indices of India. Sensitive Index or Sensex related to Bombay Stock Exchange (BSE) and Nifty associated with National Stock Exchange (NSE). The objective is to model the phenomena of volatility clustering and persistence of shock using asymmetric GARCH family of models. Research showed that EGARCH model successfully models the Sensex (BSE) data whereas it is GJR-GARCH which was able to explain conditional variance in the returns from Nifty (NSE).
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 :Mohamed El Hedi Arouri Publisher :Springer Science & Business Media ISBN 13 :3790823899 Total Pages :214 pages Book Rating :4.7/5 (98 download)
Book Synopsis The Dynamics of Emerging Stock Markets by : Mohamed El Hedi Arouri
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Book Synopsis Empirical Finance by : Sardar M. N. Islam
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Book Synopsis Volatility and Openness of Emerging Markets by : Vince Hooper
Download or read book Volatility and Openness of Emerging Markets written by Vince Hooper and published by . This book was released on 1996 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling and Forecasting the Volatility of Thin Emerging Stock Markets by : Plamen Patev
Download or read book Modelling and Forecasting the Volatility of Thin Emerging Stock Markets written by Plamen Patev and published by . This book was released on 2004 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory associates the stock market risk with volatility of the return. Volatility is measured by the variance of return but the investment community does not accepted this measure, since it weighs equally the deviations of the average return, while most investors determine the risk on the basis of small or negative returns. In the last few years the measure Value at Risk (VaR) has established itself in the practice. The issue about modelling and forecasting thin emerging stock markets risk is still open. The subject of the paper is the risk of the Bulgarian stock market. The aim of the paper is to give the investment community a model for assessment and forecasting of the Bulgarian stock market risk. The results of the research show that the SOFIX index has basic characteristics of most of the emerging stock markets, namely: high risk, significant autocorrelation, non-normality, volatility clustering. Three models have applied - RiskMetrics, EWMA with t distributed innovations and EWMA with GED distributed innovations. The EWMA with t distributed innovations and EWMA with GED distributed innovations adequately evaluate the risk of the Bulgarian stock market.
Book Synopsis Risk and Return in Asian Emerging Markets by : N. Cakici
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Book Synopsis Investing in Emerging Markets by : Yves Rannou
Download or read book Investing in Emerging Markets written by Yves Rannou and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have time-varying components that are partially predictable, and considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the partial implications of these properties on problems that are of practical importance. Unfortunately, initial attempts fail either to explain extreme stock market behaviour or invite significant challenge of computation.This paper investigates the daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV) model. It is estimated with the Markov Chain Monte Carlo (MCMC) method that allows the first two moments of returns to vary over time incorporating a Gibbs sampling to estimate posterior returns.Our empirical research captures most of the volatility dynamics. Interestingly, we show that both a significant persistency and the variability of volatility are higher in emerging countries as compared to advanced economies.We also provide evidence for significant negative correlation between shocks to the stock market index and shocks to volatility. The so-called “leverage effect” is tested with a sample of recent daily stock index returns throughout the period 2004-2008. Our estimation results confirm that the persistency in volatility and the variability of volatility are negatively related. Moreover, persistency in volatility and the magnitude of leverage effect are negatively correlated.We conclude by suggesting new development for the emerging country risk exposure applicable to mean variance investors. We also give some economic significance of our findings all in indicating some remaining issues for further researches.
Book Synopsis Emerging Equity Market Volatility by : Geert Bekaert
Download or read book Emerging Equity Market Volatility written by Geert Bekaert and published by . This book was released on 1995 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital market reform. We shed indirect light on the question of capital market integration by exploring the changing influence of world factors on the volatility in emerging markets. Finally, we investigate the cross-section of volatility. We use measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of individual securities within each country, turnover, foreign exchange variability and national credit ratings to characterize why volatility is different across emerging markets.
Book Synopsis Portfolio Investment Flows to Emerging Markets by : Sudarshan Gooptu
Download or read book Portfolio Investment Flows to Emerging Markets written by Sudarshan Gooptu and published by World Bank Publications. This book was released on 1993 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Management in Emerging Markets by : Sabri Boubaker
Download or read book Risk Management in Emerging Markets written by Sabri Boubaker and published by Emerald Group Publishing. This book was released on 2016-10-04 with total page 746 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses three main dimensions of risk management in emerging markets: 1) the effectiveness of risk management practices; 2) current issues and challenges in risk assessment and modelling in emerging market countries; 3) the responses of emerging markets to the recent financial crises and the design of risk management models.
Book Synopsis Stochastic Volatility and Time-Varying Country Risk in Emerging Markets by : Anders C. Johansson
Download or read book Stochastic Volatility and Time-Varying Country Risk in Emerging Markets written by Anders C. Johansson and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study suggests an alternative method to estimate time-varying country risk. We first apply a new multivariate stochastic volatility (SV) model to a set of emerging stock markets. To estimate the SV model, we use a Bayesian Markov chain Monte Carlo simulation procedure. By applying the deviance information criterion, we show that the new model performs well relative to alternative multivariate SV models. We then compute the conditional betas for the different markets and compare the results with an often-used procedure based on multivariate GARCH models. We show that the new multivariate SV model more accurately captures the time-varying nature of country risk. The conditional betas show signs of large variations, indicating the importance of taking time-varying country risk into consideration when managing emerging market portfolios.
Book Synopsis Empirical Risk Management in Emerging Markets by : Tubagus Nur Ahmad Maulana
Download or read book Empirical Risk Management in Emerging Markets written by Tubagus Nur Ahmad Maulana and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research considers different aspect of modelling risk in the emerging markets. It places particular emphasis on modelling default probability in emerging bond markets, modelling country risk in emerging stock markets, modelling market risk in emerging stock markets and examining the appropriate asymmetric volatility model in emerging stock market as well as examining whether the long term memory in volatility exists in emerging stock market. More specifically, the aims of this study is to answer the following research questions: (1) what are the main factors determine and what is the best model to explain default probability in emerging bond market; (2) which model is the best to use to modelling country risk in emerging markets; (3) what is the best model to be used for explaining market risk in emerging stock markets; (4) what is the best asymmetric model to be used in emerging stock markets and is the SEMIFAR model successful at modelling long memory in the volatility of emerging stock markets. The study shows that the fluctuation in default probability in emerging bond markets can be explained by macroeconomic variable and financial variable. With regard to the second research question, it was found that the Kalman Filter model (in particular the Random Walk technique) was the best model to predict country risk in emerging stock markets. The result of the study shows that the most successful model to capture market risk (or extreme risk) in emerging stock market is the conditional t. The study also shows that emerging stock markets are more sensitive to bad news than to good news as indicated by their higher volatility during down-market as compared to up-market. It was found that the TGARCH model is the most appropriate model to be used for explaining asymmetry volatility in emerging stock markets. Finally, the result of this study reveals the existence of long term memory in emerging stock markets and the successfulness of SEMIFAR model to capture the phenomenon.
Book Synopsis Opening Up of Stock Markets by Emerging Economies by : Ŭng-han Kim
Download or read book Opening Up of Stock Markets by Emerging Economies written by Ŭng-han Kim and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Spillovers and Contagion from Mature to Emerging Stock Markets by : John Beirne
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Book Synopsis Emerging Markets and the Global Economy by : Mohammed El Hedi Arouri
Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
Book Synopsis Empirical Studies on Volatility in International Stock Markets by : Eugenie M.J.H. Hol
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
