Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets

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Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets

Author : Takatoshi Itō
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets by : Takatoshi Itō

Download or read book Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets written by Takatoshi Itō and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.

Price volatility and volume spillovers between the Tokyo and New York stock markets

Author : Takatoshi Ito
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Price volatility and volume spillovers between the Tokyo and New York stock markets by : Takatoshi Ito

Download or read book Price volatility and volume spillovers between the Tokyo and New York stock markets written by Takatoshi Ito and published by . This book was released on 1993 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets'

Author : Allan William Kleidon
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets' by : Allan William Kleidon

Download or read book Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets' written by Allan William Kleidon and published by . This book was released on 1994 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Price Volatility and Volumen Spillovers Between the Tokyo and New York Stock Markets

Author : Takatoshi Ito
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)

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Book Synopsis Price Volatility and Volumen Spillovers Between the Tokyo and New York Stock Markets by : Takatoshi Ito

Download or read book Price Volatility and Volumen Spillovers Between the Tokyo and New York Stock Markets written by Takatoshi Ito and published by . This book was released on 1993 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Price Vbolatility and Volume Spilloversbetween the Tokyo and New York Stock Markets

Author : Takaoshi Ito
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (258 download)

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Book Synopsis Price Vbolatility and Volume Spilloversbetween the Tokyo and New York Stock Markets by : Takaoshi Ito

Download or read book Price Vbolatility and Volume Spilloversbetween the Tokyo and New York Stock Markets written by Takaoshi Ito and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Correlations in Price Changes and Volatility Across International Stock Markets

Author : Yasushi Hamao
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Correlations in Price Changes and Volatility Across International Stock Markets by : Yasushi Hamao

Download or read book Correlations in Price Changes and Volatility Across International Stock Markets written by Yasushi Hamao and published by . This book was released on 2006 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.

International Stock Price Spillovers and Market Liberalization

Author : Sang W. Kim
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis International Stock Price Spillovers and Market Liberalization by : Sang W. Kim

Download or read book International Stock Price Spillovers and Market Liberalization written by Sang W. Kim and published by . This book was released on 1995 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Internationalization of Equity Markets

Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)

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Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel

Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan

Author : Ping Wang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan by : Ping Wang

Download or read book Price and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan written by Ping Wang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.

Price and Volatility Spillovers between Greater China and Japan and Us Markets

Author : Ping Wang
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Price and Volatility Spillovers between Greater China and Japan and Us Markets by : Ping Wang

Download or read book Price and Volatility Spillovers between Greater China and Japan and Us Markets written by Ping Wang and published by . This book was released on 2008 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The conjecture that developed markets dominate emerging markets in stock market interactions is questioned - such asymmetric dominance of developed markets over developing markets does not show up in the present study where the developing market of China is of a comparable size in relation to the developed markets of Japan and the US. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.

Financial Market Drift

Author : Lukas Menkhoff
Publisher : Springer Science & Business Media
ISBN 13 : 9783540411659
Total Pages : 252 pages
Book Rating : 4.4/5 (116 download)

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Book Synopsis Financial Market Drift by : Lukas Menkhoff

Download or read book Financial Market Drift written by Lukas Menkhoff and published by Springer Science & Business Media. This book was released on 2000-12-04 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.

Financial Econometrics

Author : Peijie Wang
Publisher : Routledge
ISBN 13 : 1134091451
Total Pages : 337 pages
Book Rating : 4.1/5 (34 download)

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Book Synopsis Financial Econometrics by : Peijie Wang

Download or read book Financial Econometrics written by Peijie Wang and published by Routledge. This book was released on 2008-09-19 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop

Jumps and Stochastic Volatility

Author : David S. Bates
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Jumps and Stochastic Volatility by : David S. Bates

Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.

The ESG Framework and the Energy Industry

Author : James Thewissen
Publisher : Springer Nature
ISBN 13 : 3031484576
Total Pages : 314 pages
Book Rating : 4.0/5 (314 download)

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Book Synopsis The ESG Framework and the Energy Industry by : James Thewissen

Download or read book The ESG Framework and the Energy Industry written by James Thewissen and published by Springer Nature. This book was released on 2024-01-13 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to a better understanding of the importance of environmental, social, and governance (ESG) principles for corporate value in the energy industry. In particular, it analyzes how the energy industry is achieving this shift in response to government regulations and how it is addressing specific ESG issues. It discusses various economic incentives and market-based policies for ESG activities in the energy sector and highlights how energy firms are using environmental, social and governance initiatives to create value. In turn, the book demonstrates how ESG principles can be implemented while considering various economic and corporate issues, such as financial markets, financial risks, asset pricing, value at risk, capital structure, capital budgeting, corporate (re)structuring, corporate governance, behavioral finance, financial performance, asset pricing, cost control, financial accounting, fiscal issues, institutions, governance, and legal aspects. Accordingly, it will appeal to scholars of economics, finance, and energy policy, and to anyone interested in the implementation of ESG principles in the energy industry. This is the ninth book in a series organized by the Centre for Energy and Value Issues (CEVI). In this book, CEVI collaborates with the Hacettepe University Energy Markets Research and Application Center (Ankara, Turkey). The previous volumes in the series were: Financial Aspects in Energy (2011), Energy Economics and Financial Markets (2012), Perspectives on Energy Risk (2014), Energy Technology and Valuation Issues (2015), Energy and Finance (2016), Energy Economy, Finance and Geostrategy (2018), Financial Implications of Regulations in the Energy Industry (2020) and Applied Operations Research and Financial Modelling in Energy (2021).

The Role of Exclusive Territories in Producers' Competition

Author : Patrick Rey
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Role of Exclusive Territories in Producers' Competition by : Patrick Rey

Download or read book The Role of Exclusive Territories in Producers' Competition written by Patrick Rey and published by . This book was released on 1994 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central objective of this paper is to show how vertical restraints, which affect intra-brand competition, can and will be used as an effective mechanism for reducing inter-brand competition and increasing producer profits. We show how exclusive territories alter the perceived demand curve, making each producer believe he faces a less elastic demand curve, thereby inducing an increase of the equilibrium price. The use of exclusive territories may increase producers' profits, even if the producers cannot charge franchise fees, and so cannot recapture, from the retailers, the monopoly rents they earn from their exclusive territory: we show that 'double marginalization' effects can be overcome by the strategic effect on producers' competition. We provide a model in which we can clearly specify the full range of feasible contracts between producers and retailers, and show that it is always a dominant strategy for firms to use exclusive territories (so that exclusive territories are used in equilibrium) and that the best situation from the producers' viewpoint may or may not entail franchise fees. In all cases, exclusive territories hurt consumer surplus and reduce total welfare, which yields a different light on vertical restraints from a competition policy perspective.

The Wealth of Cohorts

Author : Steven F. Venti
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Wealth of Cohorts by : Steven F. Venti

Download or read book The Wealth of Cohorts written by Steven F. Venti and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Personal retirement accounts are becoming an increasingly important form of retirement saving. Using data from the Survey of Income and Program Participation, the paper considers the effect of this change on the assets of recent retirees and persons who are approaching retirement. Much of the analysis is based on comparison of younger and older cohorts with different lengths of exposure to personal retirement saving programs. The findings suggest that personal retirement saving has already added substantially to the personal financial assets of older families. Projections imply that the personal financial assets of the cohort that will attain age 76 in 28 years will be almost twice as large as the personal financial assets of the cohort that attained age 76 in 1991. The results indicate also that to date there has been little replacement of employer-provided pension saving with personal retirement saving. Together with evidence that personal financial saving is unrelated to changes in home equity, the results suggest that personal retirement saving will lead to an important increase in the overall wealth of the elderly.

Progress in Economics Research, Volume 11

Author : Albert Tavidze
Publisher : Nova Publishers
ISBN 13 : 9781600217395
Total Pages : 262 pages
Book Rating : 4.2/5 (173 download)

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Book Synopsis Progress in Economics Research, Volume 11 by : Albert Tavidze

Download or read book Progress in Economics Research, Volume 11 written by Albert Tavidze and published by Nova Publishers. This book was released on 2007 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series spans the globe presenting leading research in economics. It is perhaps a sign of the times that economic weapons seem to be as powerful as or more so than tanks. International applications and examples of economic progress are invaluable in the world of the 21st century.