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Transmission Of Volatility Between Stock Markets
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Book Synopsis Transmission of Volatility Between Stock Markets by : Mervyn A. King
Download or read book Transmission of Volatility Between Stock Markets written by Mervyn A. King and published by . This book was released on 1989 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.
Book Synopsis Transmission of Volatility between Stock Markets by : Mervyn King
Download or read book Transmission of Volatility between Stock Markets written by Mervyn King and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that quot;contagionquot; between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a quot;mistakequot; in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.
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
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.
Author :Universitat de València. Departament d'Economia Financera i Actuarial Publisher : ISBN 13 : Total Pages :177 pages Book Rating :4.:/5 (92 download)
Book Synopsis Volatility Transmission Between International Stock Markets by : Universitat de València. Departament d'Economia Financera i Actuarial
Download or read book Volatility Transmission Between International Stock Markets written by Universitat de València. Departament d'Economia Financera i Actuarial and published by . This book was released on 2007 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Transmission of Volatility Across Asia-Pacific Stock Markets by : Amarnath Mitra
Download or read book Transmission of Volatility Across Asia-Pacific Stock Markets written by Amarnath Mitra and published by . This book was released on 2015 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.
Book Synopsis Volatility Transmission Between US and Latin American Stock Markets by : Laura Cardona
Download or read book Volatility Transmission Between US and Latin American Stock Markets written by Laura Cardona and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US.
Book Synopsis The Dynamic Mechanisms of Volatility Transmission Among National Stock Markets by : Kostas Giannopoulos
Download or read book The Dynamic Mechanisms of Volatility Transmission Among National Stock Markets written by Kostas Giannopoulos and published by . This book was released on 1996 with total page 39 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 INTERNATIONAL MONETARY FUND. This book was released on 2008-12-01 with total page 40 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 Integration and the Asymmetric Transmission of Volatility by : Bruce Allen Hearn
Download or read book Integration and the Asymmetric Transmission of Volatility written by Bruce Allen Hearn and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric. Extensive spillovers are found across these markets, some uni-directional and others bilateral. However, continued illiquidity, incomplete institutions and low levels of domestic participation indicate that an integrated financial community remains premature, and considerable regulatory reform and harmonisation will be necessary before this can be achieved.
Book Synopsis Pacific-basin Capital Markets Research by : S. Ghon Rhee
Download or read book Pacific-basin Capital Markets Research written by S. Ghon Rhee and published by North Holland. This book was released on 1990 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. This volume of papers from the second Conference held in June 4-6, 1990, Bangkok, Thailand, consists of keynote addresses, competitive research award papers, invited and selected papers.
Book Synopsis NAFTA Stock Markets by : Giorgio Canarella
Download or read book NAFTA Stock Markets written by Giorgio Canarella and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in the North American Free Trade Area (NAFTA) -- Canada, Mexico, and the US. Our examination of interactions of the NAFTA stock markets considers three issues. First, the authors examine the long-run relationship between the three markets, using cointegration techniques. Second, they evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, they explore the volatility transmission process between the three markets, using a multivariate generalised auto-regressive conditional heteroskedasticity model. The results exhibit significant volatility transmission between the second moments of the NAFTA stock markets. The magnitude and trend of the conditional correlations indicate that in the last few years, Mexico's stock market exhibited a tendency toward increased integration with the US market. Finally, the authors discuss the evidence that exists on the Peso and Asian financial crises as well as the stock-market crash in the US which has affected the return and volatility time-series relationships.
Book Synopsis Volatility Transmission Between the Oil Market and the Financial Market by : Fidel Farías
Download or read book Volatility Transmission Between the Oil Market and the Financial Market written by Fidel Farías and published by . This book was released on 2011 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
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
Book Synopsis Contagion Effects and Volatility Impulse Responses Between US and Asian Stock Markets by : Sang Hoon Kang
Download or read book Contagion Effects and Volatility Impulse Responses Between US and Asian Stock Markets written by Sang Hoon Kang and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we investigated volatility transmission effects be-tween the US and six Asian markets -- China, Hong Kong, Japan, Korea, Singapore, and Taiwan -- using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse response function (VIRF). Our empirical findings extend several recent reports. First, the empirical results of this study show that the US and Asian stock markets are interrelated by their volatility. Second, we found that the 2008 global financial crisis intensified volatility transmission across the US and Asian stock markets. Third, we found that one large shock, the bankruptcy of Lehman Brothers, resulted in an increase in expected conditional volatilities in the post-bankruptcy era. Moreover, the magnitude and the persistence of the volatility impulse responses differed across Asian stock markets due to differing investor reactions to shocks in each market.
Book Synopsis Volatility Transmission Between Stock and Exchange-Rate Markets by : Fernando Fernández Rodríguez
Download or read book Volatility Transmission Between Stock and Exchange-Rate Markets written by Fernando Fernández Rodríguez and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.
