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Author : Chowdhury B. A. Mustafa
Publisher :
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Persistence and Implied Persistence of Volatility of Stock Returns written by Chowdhury B. A. Mustafa and published by . This book was released on 1988 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Björn A. Hansson
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (186 download)
Download or read book Stock Returns and Conditional Volatility written by Björn A. Hansson and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James T. Moser
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.3/5 ( download)
Download or read book Trading Activity, Program Trading, and the Volatility of Stock Returns written by James T. Moser and published by . This book was released on 1992 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-Gabriel Cousin
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (129 download)
Download or read book Investigation of the Impact of the Financial Communication Intensity on the Conditional Volatility of Stock Returns written by Jean-Gabriel Cousin and published by . This book was released on 2005 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relation between information flow and asset prices behavior is one of the key issues of modern finance. Our study investigates more closely the link between frequency of information arrivals and stock return volatility. It aims precisely to test empirically the mixture of distribution hypothesis and to check whether the stock returns distribution is driven by the frequencies of information arrivals on the Paris stock Exchange (Euronext). We analyse the impact of news on volatility at the firm-level. We opt for a model with two (Markov switching) regimes of volatility that we apply to all stocks pertaining to the CAC40 index from January 1999 to December 2003. We find a positive and significant but marginally decreasing impact of the daily frequency of information arrivals on the probability to be in a state of high volatility for each of the 40 companies considered. The subsequent model for panel data allows us to conclude that this impact crucially depends on the timing and the subject of the news release. Asymmetry and informational content issues are also investigated. Results are consistent with previous literature, although we show that any asymmetric effect disappears once the news informational content is accounted for.
Author : Rochelle L. Antoniewicz
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book A Causal Relationship Between Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wing Hong Watt
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Essays on Conditional Volatility in Asset Returns written by Wing Hong Watt and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tanguy de Launois
Publisher : Presses univ. de Louvain
ISBN 13 : 2874631744
Total Pages : 275 pages
Book Rating : 4.8/5 (746 download)
Download or read book Information, Volatility and the Cost of Capital written by Tanguy de Launois and published by Presses univ. de Louvain. This book was released on 2009 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.
Author : Shmuel Kandel
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Author : Paul H. Kupiec
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Initial Margin Requirements and Stock Returns Volatility written by Paul H. Kupiec and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giorgio De Santis
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.E/5 ( download)
Download or read book Stock Returns and Volatility in Emerging Financial Markets written by Giorgio De Santis and published by . This book was released on 1994 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)
Download or read book Asymmetric Volatility and Risk in Equity Markets written by Geert Bekaert and published by . This book was released on 1997 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical application uses the market portfolio and portfolios with different leverage constructed from Nikkei 225 stocks, extending the empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and the portfolio levels, its source differs across portfolios. We find that it is important to include leverage ratios in the volatility dynamics but that their economic effects are mostly dwarfed by the volatility feedback mechanism. Volatility feedback is enhanced by a phenomenon that we term covariance asymmetry: conditional covariances with the market increase only significantly following negative market news. We do not find significant asymmetries in conditional betas.
Author : John Okey Onoh
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Assessing Market Volatility on Daily Stock Returns Using GARCH - Evidence from Nigeria written by John Okey Onoh and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Adequate knowledge about the volatility, performance and efficiency of stock returns remains vital and essential information to investors. These will guide not only investment decisions but also planning for economic growth and development. Given that the Nigerian Stock Exchange has existed, its ability to generate confidence is still in doubt given the recent crash witnessed in the market. It means the confidence the exchange is expected to instill in investors is still not commensurable. It was against the forgoing that this study examined the impact on stock market returns of volatility in the Nigerian Stock market. The study adopted the ex-post facto research design and data were obtained from daily reports of the Nigerian Stock Exchange from 2nd January, 2001 to 31st December, 2015. The study used the ARCH/GARCH to test the hypothesis stated. The results also revealed that, there is a significant ARCH/GARCH (volatility) effect on stock market returns of the Nigerian Stock market. This is because it was revealed that for stock returns, p-value was less 0.05 and equal to zero showing that the ARCH test statistics exceeds its critical value. Therefore, ARCH/GARCH test strongly rejects the null hypothesis that there is no significant ARCH/GARCH (volatility) effect in given return of all shares index. The study thus concludes that the stock returns contained correlation in its returns or squared returns, which meant that ARCH/GARCH process was found. After testing the dataset, the models were set up and run; the parameters were estimated for each of the model with their conditional volatility. As the conditional volatility is the main ingredient for forecasting volatility and its depended on conditional variance. Then, we check the quality of our estimated parameter and volatility. First test the innovations of each, that there are any kind of correlation is present or not. It was found that there is no significant correlation and ARCH/GARCH effect was present. Therefore, models for single index that are good fitted and better, explained the market variation and volatility observed in the Nigerian Stock Market. The recommendation is that Strategies need to be designed toward reaping abnormal returns by exploiting information and actions that enhance inefficiency in stock markets thus, firms and individuals should be encouraged to buy or sell securities outside their face values, as a means of encouraging business or economic activities in the economy.
Author : Theuri Chege
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)
Download or read book Return Volatility and Equity Pricing written by Theuri Chege and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya's fledgling equity market - the Nairobi Securities Exchange. Both the GARCH-in-mean and E-GARCH models yield positive and significant conditional variance parameters. We also find that shocks to equity returns of conditional volatility are highly persistent. Our results also indicate that conditional variance is driven more by the past conditional variance than it is driven by new disturbances. Finally, we find evidence of volatility clustering in the stock markets around major world and domestic economic episodes. Results are consistent with the inference that investors require larger risk premia on equities if they anticipate greater price volatility in future.
Author : John L. Knight
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750655156
Total Pages : 428 pages
Book Rating : 4.6/5 (551 download)
Download or read book Forecasting Volatility in the Financial Markets written by John L. Knight and published by Butterworth-Heinemann. This book was released on 2002 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text 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 modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.
Author : Michael W. Brandt (Ph.D.)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (639 download)
Download or read book On the Relationship Between the Conditional and Volatility of Stock Returns written by Michael W. Brandt (Ph.D.) and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramon P. DeGennaro
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Stock Returns and Volatility written by Ramon P. DeGennaro and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH-in-mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation.After estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak. The results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns.
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (248 download)
Download or read book On the Relationship Between the Conditional Mean and Volatility of Stock Returns written by Michael W. Brandt and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads to pronounced counter-cyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the conditional moments that also appear related to business cycles. Finally, we show that although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to the lead-lag correlations
