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Author : Bruno H. Solnik
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (66 download)
Download or read book International Market Correlation and Volatility written by Bruno H. Solnik and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramon Wardak
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (752 download)
Download or read book Changes in International Market Correlation and Volatility written by Ramon Wardak and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bruno H. Solnik
Publisher :
ISBN 13 : 9782854185713
Total Pages : 12 pages
Book Rating : 4.1/5 (857 download)
Download or read book International Market Correlation and Volatility written by Bruno H. Solnik and published by . This book was released on 1996 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francois M. Longin
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Extreme Correlation of International Equity Markets written by Francois M. Longin and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ldquo;extreme value theoryrdquo; to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
Author : Andrew Mun
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Contribution of Exchange Rate Fluctuations to Stock Market Volatility and Cross-Market Correlations written by Andrew Mun and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a direct, explicit model for the contribution of exchange rate fluctuations and examine how and to what extent international stock market volatility and cross-market correlations are influenced by exchange rate fluctuations. Evidence presented in this paper indicates that a higher foreign exchange rate variability contributes mostly to a higher local stock market volatility but to a lower volatility for the US stock market. The extent to which the stock market volatility is influenced by a foreign exchange variability is greater for local markets than for the US market, due to the fact that exchange rate changes are more strongly correlated with the local equity market returns than the US market returns. We also find that a higher exchange rate fluctuation contributes marginally to a lower US/local equity market correlation in most cases. While exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, there was no significant influence on the US/local market correlation.
Author : Roberto Moro Visconti
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (881 download)
Download or read book The link between volatility and correlation in international stock markets written by Roberto Moro Visconti and published by . This book was released on 1994 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mico Loretan
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Evaluating "correlation Breakdowns" During Periods of Market Volatility written by Mico Loretan and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such changes in correlations could reflect changes in the underlying distribution of returns or quot;contagionquot; across markets that is present only during periods of market turbulence. However, as noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making.
Author : Eugenie M.J.H. Hol
Publisher : Springer Science & Business Media
ISBN 13 : 147575129X
Total Pages : 168 pages
Book Rating : 4.4/5 (757 download)
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Author : Yasushi Hamao
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
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 1989 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Louis O. Scott
Publisher : International Monetary Fund
ISBN 13 : 1451944594
Total Pages : 68 pages
Book Rating : 4.4/5 (519 download)
Download or read book Financial Market Volatility and the Implications for Market Regulation written by Louis O. Scott and published by International Monetary Fund. This book was released on 1990-11-01 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.
Author : CFA O'Toole (Randy)
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book Correlation and Volatility Asymmetries in International Equity Markets written by CFA O'Toole (Randy) and published by . This book was released on 2013 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The co-movement of international equity markets in different return environments is examined using estimates of realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown to be similarly elevated in periods characterized by extreme returns in both up and down markets, which contradicts a body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is much greater in down markets than in up markets. This suggests that it is not a lack of diversification that matters for comparative performance in bear markets, but rather the relative magnitude of negative returns typically experienced during such periods.
Author : Abderrahim Taamouti
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author : Mr.A. Javier Hamann
Publisher : International Monetary Fund
ISBN 13 : 1451961774
Total Pages : 28 pages
Book Rating : 4.4/5 (519 download)
Download or read book Correlations in Emerging Market Bonds written by Mr.A. Javier Hamann and published by International Monetary Fund. This book was released on 2010-01-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Download or read book Market volatility and stock correlation instability written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A diversificação, um dos fundamentos da Teoria Moderna de Carteiras e baseada na correlação entre ativos, se tornou importante ferramenta em modelos de alocação de recursos e gerenciamento de risco de carteiras. No entanto, estudos recentes apontam redução da eficiência da diversificação em períodos de maior volatilidade, quando ocorre o aumento da correlação entre as ações e que provoca graves distorções nos modelos que consideram a estabilidade da estrutura da matriz de correlação. A proposta deste trabalho é investigar a relação entre as variações da matriz de correlação de ações e a volatilidade do mercado, aplicando a metodologia apresentada por Jacquier e Marcus (2000) para o mercado de ações brasileiro e latino americano. Embora tenha apresentado resultados diferentes para os dois mercados de ações, verificou-se que o modelo indexado de um fator consegue explicar que grande parte das variações da matriz de correlação é explicada pela volatilidade dos respectivos mercados.
Author : Sanjaykumar Durgabhai Paramar
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659560293
Total Pages : 100 pages
Book Rating : 4.5/5 (62 download)
Download or read book Volatility and Correlation of Foreign Exchange Market written by Sanjaykumar Durgabhai Paramar and published by LAP Lambert Academic Publishing. This book was released on 2014-06-16 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Today's world no single country is self independent, they have to rely on others for different perspectives and these needs generate the international transaction. But all countries don't have same purchasing power, so their currency value against others is different. The need for exchange rate arises whenever a buying and selling or investing and borrowing transaction take place across the globe. Such rate indicates the value of one currency against the other one. Globally, operations in the foreign exchange market started in a major way after the breakdown of the Bretton Woods system in 1971, which also marked the beginning of floating exchange rate regimes in several countries. Over the years, the foreign exchange market has emerged as the largest market in the world. The decade of the 1990s witnessed a perceptible policy shift in many emerging markets towards reorientation of their financial markets in terms of new products and instruments, development of institutional and market infrastructure and realignment of regulatory structure consistent with the liberalised operational framework.
Author : Zuliu Hu
Publisher : International Monetary Fund
ISBN 13 : 1451852584
Total Pages : 26 pages
Book Rating : 4.4/5 (518 download)
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.
