Stock Volatility During The Recent Financial Crisis

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Stock Volatility During the Recent Financial Crisis

Author : G. William Schwert
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (714 download)

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Book Synopsis Stock Volatility During the Recent Financial Crisis by : G. William Schwert

Download or read book Stock Volatility During the Recent Financial Crisis written by G. William Schwert and published by . This book was released on 2011 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting to happen in the months following the financial crisis in late 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading

Stock Volatility During the Recent Financial Crisis

Author : G. William Schwert
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (732 download)

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Book Synopsis Stock Volatility During the Recent Financial Crisis by : G. William Schwert

Download or read book Stock Volatility During the Recent Financial Crisis written by G. William Schwert and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting to happen in the months following the financial crisis in late 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading.

Stock Volatility During the Recent Financial Crises

Author : G. William Schwert
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Stock Volatility During the Recent Financial Crises by : G. William Schwert

Download or read book Stock Volatility During the Recent Financial Crises written by G. William Schwert and published by . This book was released on 2011 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Beast on Wall Street

Author : Robert A. Haugen
Publisher : Pearson
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (321 download)

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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 166 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.

Stock Market Volatility

Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)

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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

Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis

Author : Ansgar Belke
Publisher :
ISBN 13 : 9783867882798
Total Pages : 36 pages
Book Rating : 4.8/5 (827 download)

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Book Synopsis Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis by : Ansgar Belke

Download or read book Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis written by Ansgar Belke and published by . This book was released on 2011 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Options for Volatile Markets

Author : Richard Lehman
Publisher : John Wiley & Sons
ISBN 13 : 1118022262
Total Pages : 224 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Options for Volatile Markets by : Richard Lehman

Download or read book Options for Volatile Markets written by Richard Lehman and published by John Wiley & Sons. This book was released on 2011-08-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.

FINANCIAL CRISIS AND VOLATILITY OF STOCK MARKET AND FOREIGN EXCHANGE MARKET

Author : Das Soma
Publisher : Soma Das
ISBN 13 : 9785805664633
Total Pages : 0 pages
Book Rating : 4.6/5 (646 download)

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Book Synopsis FINANCIAL CRISIS AND VOLATILITY OF STOCK MARKET AND FOREIGN EXCHANGE MARKET by : Das Soma

Download or read book FINANCIAL CRISIS AND VOLATILITY OF STOCK MARKET AND FOREIGN EXCHANGE MARKET written by Das Soma and published by Soma Das. This book was released on 2023-01-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of stock market for the assessment of the risk has assumed greater significance in india, after liberalization. Usefulness of efficident stock market in mobilzing resources is well-known among policy makers and investors. Volatility In the prices of stock adversely affects individual earnings and health of the economy. Volatility in the price of stock market can arise because of several reasons. It creates atmosphere of uncertainty and thus it hampers productive investment. Volatility is inherent feature of stock markets. It should be known to those who are concerned directly and indirectly with stock markets. Volatility of stock prices refers to the frequency with which changes in stock prices over a given period of time. The volatility can also be understood as the frequency or relative rate at which the price of a security moves up and down. Volatility Is found by calculating the annualized standard deviation of daily change in price. Standard deviation of return is widely used as a measure of total risk of a financial asset. If a stock is highly volatile, there is risk of losing capital and thus investors tend to avoid Investing in these stocks.

Volatility Transmission between the Oil and Stock Markets

Author : Fidel Farias
Publisher : GRIN Verlag
ISBN 13 : 3668256152
Total Pages : 108 pages
Book Rating : 4.6/5 (682 download)

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Book Synopsis Volatility Transmission between the Oil and Stock Markets by : Fidel Farias

Download or read book Volatility Transmission between the Oil and Stock Markets written by Fidel Farias and published by GRIN Verlag. This book was released on 2016-07-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt

International Financial Systems and Stock Volatility

Author : Nidal Rashid Sabri
Publisher : Elsevier
ISBN 13 : 9780762308552
Total Pages : 404 pages
Book Rating : 4.3/5 (85 download)

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Book Synopsis International Financial Systems and Stock Volatility by : Nidal Rashid Sabri

Download or read book International Financial Systems and Stock Volatility written by Nidal Rashid Sabri and published by Elsevier. This book was released on 2002-02-28 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial crises are not confined to a financial market or a financial institution, or a country or a region. The financial crises moved from one market to another, across geographical locations, as well as across segments of financial systems. This volume is devoted to exploring various aspects of this issue.

Volatility During the Financial Crisis Through the Lens of High Frequency Data

Author : Denisa Banulescu Radu
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility During the Financial Crisis Through the Lens of High Frequency Data by : Denisa Banulescu Radu

Download or read book Volatility During the Financial Crisis Through the Lens of High Frequency Data written by Denisa Banulescu Radu and published by . This book was released on 2018 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study financial volatility during the Global Financial Crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high-frequency financial data to model volatility and to determine the timing within the day when the largest volatility shocks occurred. The latter helps us identify the events that may be associated with each of these shocks, and serves to illustrate the benefits of using high-frequency data. Some of the largest volatility shocks coincide, not surprisingly, with the bankruptcy of Lehman Brothers on September 15, 2008 and Congress's failure to pass the Emergency Economic Stabilization Act on September 29, 2008. Yet, the largest volatility shock was on February 27, 2007, the date when Freddie Mac announced a stricter policy for underwriting subprime loans and a date that was marked by a crash on the Chinese stock market. However, the intraday high-frequency data shows that the main culprit was a computer glitch in the trading system. The days with the largest drops in volatility can in most cases be related to interventions by governments and central banks.

Business Cycles, Financial Crises and Stock Volatility

Author : George William Schwert
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (43 download)

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Book Synopsis Business Cycles, Financial Crises and Stock Volatility by : George William Schwert

Download or read book Business Cycles, Financial Crises and Stock Volatility written by George William Schwert and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence reinforces the notion that stock prices are an important business cycle indicator. Using two different statistical models for stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and stock prices rise before the Fed increases margin requirements. Thus, there is little reason to believe that public policies can control stock volatility. The evidence supports the observation by Black [1976] that stock volatility increases after stock prices fall.

Stock Market Volatility, Business Cycles and the Recent Financial Crisis

Author : Sarosh Shabi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (111 download)

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Book Synopsis Stock Market Volatility, Business Cycles and the Recent Financial Crisis by : Sarosh Shabi

Download or read book Stock Market Volatility, Business Cycles and the Recent Financial Crisis written by Sarosh Shabi and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Volatility Risk and Stock Return Predictability on Global Financial Crises

Author : Worawuth Kongsilp
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)

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Book Synopsis Volatility Risk and Stock Return Predictability on Global Financial Crises by : Worawuth Kongsilp

Download or read book Volatility Risk and Stock Return Predictability on Global Financial Crises written by Worawuth Kongsilp and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns

Author : Anwer S. Ahmed
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns by : Anwer S. Ahmed

Download or read book Earnings Volatility, Ambiguity, and Crisis-Period Stock Returns written by Anwer S. Ahmed and published by . This book was released on 2019 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises are typically marked by substantial increases in ambiguity where prices appear to decouple from fundamentals. Consistent with ambiguity-based asset pricing theories, we find that ambiguity concerns are more severe for firms with higher pre-crisis earnings volatility, causing investors to demand a higher ambiguity premium for such firms. While there is no relation between earnings volatility and stock returns under normal conditions, there is a significant negative relation between crisis-period stock returns and prior earnings volatility. In other words, during economic turmoil, investors punish stocks whose past earnings volatility was higher despite that they do not perceive these stocks to be riskier under stable economic conditions. Our findings indicate that a firm's past earnings volatility predicts its stock price performance during crisis periods. We also find that this relation is stronger in firms with low institutional ownership and low analyst-following, consistent with ambiguity concerns being more important for firms with a greater proportion of unsophisticated investors. Our results are robust to controlling for firm-level characteristics as well as industry-fixed effects. Our evidence suggests that earnings stability helps mitigate ambiguity-concerns during a financial crisis.

The Financial Crisis Inquiry Report

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
ISBN 13 : 1616405414
Total Pages : 692 pages
Book Rating : 4.6/5 (164 download)

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Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission

Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Modelling Returns and Volatilities During Financial Crises

Author : Menelaos Karanasos
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Modelling Returns and Volatilities During Financial Crises by : Menelaos Karanasos

Download or read book Modelling Returns and Volatilities During Financial Crises written by Menelaos Karanasos and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the mean and volatility dynamics, including the underlying volatility persistence and volatility spillovers structure. Using daily data from several key stock market indices we find that stock market returns exhibit time varying persistence in their corresponding conditional variances. Furthermore, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for low order time varying specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.