Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Asymmetric Effect Of The Business Cycle On The Relation Between Stock Market Returns And Their Volatility
Download The Asymmetric Effect Of The Business Cycle On The Relation Between Stock Market Returns And Their Volatility full books in PDF, epub, and Kindle. Read online The Asymmetric Effect Of The Business Cycle On The Relation Between Stock Market Returns And Their Volatility ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility by : Peter N. Smith
Download or read book The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility written by Peter N. Smith and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We confirm previous findings based on simple correlation analysis that the relation is asymmetric with downturns in the business cycle having a greater negative impact on stock returns than the positive effect of upturns. We also obtain a new result, that demand and supply shocks affect stock returns differently. Our model of the relation between returns and their volatility is derived from the stochastic discount factor model of asset pricing which encompasses CAPM, consumption CAPM and Merton's (1973) inter-temporal CAPM. It is implemented using a multi-variate GARCH-in-mean model with a time-varying conditional heteroskedasticity and correlation structure.
Book Synopsis Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets by : Abderrahim Taamouti
Download or read book Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets written by Abderrahim Taamouti and published by . This book was released on 2009 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: How the correlation between equity returns behaves during market turmoils has been an issue of discussion in the international finance literature. Some research suggest an increase of correlation during volatile periods [Ang and Bekaert, 2002], while others argue its stability [Forbes and Rigobon, 2002]. In this paper, we study the impact of returns and volatility on correlation between international equity markets. Our objective is to determine if there is any asymmetry in correlation and identify the main explanation for this asymmetry. Within a framework of autoregressive models we quantify the relationship between return, volatility, and correlation using the generalized impulse response function and we test for the asymmetries in the return-correlation and volatility-correlation relationships. We also examine the implications of these asymmetric effects for the optimal international portfolio. Empirical evidence using weekly data on US, Canada, UK, and France equity indices, show that without taking into account the effect of return, there is an asymmetric impact of volatility on correlation. The volatility seems to have more impact on correlation during market upturn periods than during downturn periods. However, once we introduce the effect of return, the asymmetric impact of volatility on correlation disappears. These observations suggest that, the relation between volatility and correlation is an association rather than a causality. The strong increase in the correlation is driven by the market direction and the level of return rather than the level of the volatility. These results are confirmed using some tests of the asymmetry in volatility-correlation and return-correlation relationships in separate models and then in a joint model. Finally, we find that taking into account the asymmetric effect of return on correlation leads to an average financial gain ranged between 3.35 and 37.25 basis points for optimal international diversification.
Book Synopsis Business Cycle Asymmetry and the Stock Market by : Paramsothy Silvapulle
Download or read book Business Cycle Asymmetry and the Stock Market written by Paramsothy Silvapulle and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Market Volatility and Corporate Investment by : Zuliu Hu
Download or read book Stock Market Volatility and Corporate Investment written by Zuliu Hu and published by International Monetary Fund. This book was released on 1995-10-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Book Synopsis Asymmetric Volatility and Risk in Equity Markets by : Geert Bekaert
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.
Book Synopsis Risk Factors And Contagion In Commodity Markets And Stocks Markets by : Stephane Goutte
Download or read book Risk Factors And Contagion In Commodity Markets And Stocks Markets written by Stephane Goutte and published by World Scientific. This book was released on 2020-04-28 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Book Synopsis No News is Good News by : John Y. Campbell
Download or read book No News is Good News written by John Y. Campbell and published by . This book was released on 1991 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large negative stock returns and dampens large positive returns, making stock returns negatively skewed and increasing the potential for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U.S. monthly and daily data in the period 1926-88, the asymmetric model fits the data better than the standard GARCH model, accounting for almost half the skewness and excess kurtosis of standard monthly GARCH residuals. Estimated volatility discounts on the stock market range from 1% in normal times to 13% after the stock market crash of October 1987 and 25% in the early 1930's. However volatility feedback has little effect on the unconditional variance of stock returns.
Book Synopsis Hysteresis and Business Cycles by : Ms.Valerie Cerra
Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
Book Synopsis Business Cycle Asymmetry and the Stock Market by : Dale L. Domian
Download or read book Business Cycle Asymmetry and the Stock Market written by Dale L. Domian and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present and estimate models of an asymmetric relationship between CRSP stock index returns and the U.S. unemployment rate. Based on the Akaike Information Criterion, conventional linear time series models are improved by allowing asymmetric responses. Our results show that negative stock returns are quickly followed by sharp increases in unemployment, while more gradual unemployment declines follow positive stock returns. According to our forecasting model, the unemployment rate rises by 1.12 percentage points during the 12 months after a 10 percent stock decline. Because macroeconomics forecasters have been unable to reliably predict downturns, these findings may provide a useful contribution.
Book Synopsis The Asymmetric Return - Volatility Relationship of Commodity Price Changes by : Dirk G. Baur
Download or read book The Asymmetric Return - Volatility Relationship of Commodity Price Changes written by Dirk G. Baur and published by . This book was released on 2019 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a well documented asymmetric return - volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return - volatility relationship of commodity price changes and finds an inverted asymmetric effect with a tendency to weaken and converge towards an equity-like effect since the mid 2000s. The change in the asymmetric relationship coincides with the financialization of commodity markets and thus provides an alternative perspective for this phenomenon. We argue that storage and real demand related price movements are increasingly dominated by finance-related price movements where positive commodity price changes provide positive signals for the economy whilst negative price changes provide negative signals and increase volatility.
Book Synopsis Nesting Regime-switching GARCH Models and Stock Market Volatility, Returns and the Business Cycle by : Gang Lin
Download or read book Nesting Regime-switching GARCH Models and Stock Market Volatility, Returns and the Business Cycle written by Gang Lin and published by . This book was released on 1998 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis There is a Risk-return Tradeoff After All by : Eric Ghysels
Download or read book There is a Risk-return Tradeoff After All written by Eric Ghysels and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns %u2013 the Mixed Data Sampling (or MIDAS) approach. Using MIDAS, we find that there is a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process, and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the ICAPM based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance.
Book Synopsis Brokers and Business Cycles by : Jörg Döpke
Download or read book Brokers and Business Cycles written by Jörg Döpke and published by . This book was released on 1998 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unexpected Returns by : Ed Easterling
Download or read book Unexpected Returns written by Ed Easterling and published by . This book was released on 2005 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Before you read any how-to investment books or seek financial advice, read Unexpected Returns, the essential resource for investors and investment professionals who want to understand how and why the financial markets are not the same now as they were in the 1980s and 1990s. In addition to explaining the fundamentals, this book takes you on a graphic journey through the seasons of the market, tying together economics and finance to explain the stock market's cycles. Using comprehensive full-color charts and graphs, it offers an in-depth exploration of what has changed over the past five years - and what you can do about it to avoid disappointment with your investments. This unique combination of investment science and investment art will enable you to differentiate between irrational hope and a rational view of the current financial markets. Based on years of meticulous research, it provides the sensible conclusions that will drive your future investment choices and give you the confidence to rely on your investment outlook, whatever your financial strategy. Book jacket.
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.
Book Synopsis Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon by : Chris T. Stivers
Download or read book Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon written by Chris T. Stivers and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the dynamic relation between daily stock returns and daily innovations in option-derived implied volatilities. By simultaneously analyzing innovations in index-level and firm-level implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our results indicate that the relation between stock returns and innovations in systematic volatility (idiosyncratic volatility) is substantially negative (near zero). These results suggest that asymmetric volatility is primarily attributed to systematic market-wide factors, rather than aggregated firm-level effects. We also present evidence that supports our assumption that innovations in implied volatility are good proxies for innovations in expected stock volatility.
Book Synopsis Asymmetric Cross-sectional Dispersion in Stock Returns by : Gregory R. Duffee
Download or read book Asymmetric Cross-sectional Dispersion in Stock Returns written by Gregory R. Duffee and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
