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Price And Volatility Spillovers In Scandinavian Stock Markets
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Book Synopsis Price and Volatility Spillovers in Scandinavian Stock Markets by : G. Geoffrey Booth
Download or read book Price and Volatility Spillovers in Scandinavian Stock Markets written by G. Geoffrey Booth and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regime Shifts and Volatility Spillovers on International Stock Markets by : John Hassler
Download or read book Regime Shifts and Volatility Spillovers on International Stock Markets written by John Hassler and published by . This book was released on 1995 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price and Volatility Spillovers Across North American, European and Asian Stock Markets by : Priyanka Singh
Download or read book Price and Volatility Spillovers Across North American, European and Asian Stock Markets written by Priyanka Singh and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. These markets are that of Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others' conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return.
Book Synopsis Correlations in Price Changes and Volatility Across International Stock Markets by : Yasushi Hamao
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 2006 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.
Book Synopsis Stock Return on Scandinavian Stock Markets and the Banking Industry by : Ari Hyytinen
Download or read book Stock Return on Scandinavian Stock Markets and the Banking Industry written by Ari Hyytinen and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the evolution of the (conditional) volatility of returns on three Scandinavian markets (Finland, Norway and Sweden) over the turbulent period of the past decade, namely the overlapping periods of financial liberalisation, drastically changing macroeconomic conditions and banking crisis. We find that even over this relatively turbulent period volatility is in most cases successfully captured by past volatility and shocks to past volatility, ie by a (symmetric) GARCH process.In each country banking crisis has induced regime shifts in (unconditional) volatility.We also find evidence for cross-country volatility spillovers during the banking crisis episodes.The estimated volatility patterns suggest that even though the volatility of returns was of very high magnitude during the years of banking crisis, developments within the banking industry were not reflected in market uncertainty until all the damage had been done and the severe problems afflicting banks began to be realised in full. Key words: GARCH, conditional volatility, banking crisis, volatility spillovers.
Book Synopsis Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry by : Ari Hyytinen
Download or read book Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry written by Ari Hyytinen and published by . This book was released on 2009 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the evolution of the (conditional) volatility of returns on three Scandinavian markets (Finland, Norway and Sweden) over the turbulent period of the past decade, namely the overlapping periods of financial liberalisation, drastically changing macroeconomic conditions and banking crisis. We find that even over this relatively turbulent period volatility is in most cases successfully captured by past volatility and shocks to past volatility, ie by a (symmetric) GARCH process. In each country banking crisis has induced regime shifts in (unconditional) volatility. We also find evidence for cross-country volatility spillovers during the banking crisis episodes. The estimated volatility patterns suggest that even though the volatility of returns was of very high magnitude during the years of banking crisis, developments within the banking industry were not reflected in market uncertainty until all the damage had been done and the severe problems afflicting banks began to be realised in full.
Book Synopsis Examining Mean-Volatility Spillovers Across National Stock Markets by : Vinodh K. Natarajan
Download or read book Examining Mean-Volatility Spillovers Across National Stock Markets written by Vinodh K. Natarajan and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches, academicians and analysts during recent times. In this study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover effects using the GARCH in Mean model for the period January 2002 to December 2011. The GARCH-M model seeks to provide useful insights into how information is transmitted and disseminated across stock markets. In particular, the model examines the precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong mean and volatility spillover across some stock exchanges.
Book Synopsis Networks of Volatility Spillovers Among Stock Markets by : Eduard Baumohl
Download or read book Networks of Volatility Spillovers Among Stock Markets written by Eduard Baumohl and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.
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 2012-04-17 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 Applied Operational Research by : Kaveh Sheibani
Download or read book Applied Operational Research written by Kaveh Sheibani and published by ORLAB Analytics. This book was released on 2012-07-25 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: These proceedings gather contributions presented at the 4th International Conference on Applied Operational Research (ICAOR 2012) in Bangkok, Thailand, July 25-27, 2012, published in the series Lecture Notes in Management Science (LNMS). The conference covers all aspects of Operational Research and Management Science (OR/MS) with a particular emphasis on applications.
Book Synopsis Stock Market Volatility Spillovers Among the EU Members by : Türkan Kamışlı
Download or read book Stock Market Volatility Spillovers Among the EU Members written by Türkan Kamışlı and published by . This book was released on 2010 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility written by Robert A. Jarrow and published by Risk Publications. This book was released on 1998 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Book Synopsis Food Price Volatility and Its Implications for Food Security and Policy by : Matthias Kalkuhl
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Book Synopsis Time Varying Volatility Indexes and Their Determinants by : Nalin Prasad
Download or read book Time Varying Volatility Indexes and Their Determinants written by Nalin Prasad and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003) calculated from high frequency data form the basis on which these spillovers are calculated. They are compared with spillovers based on the volatility estimators put forward by Garman and Klass (1980), Parkinson (1980) and the univariate GARCH methodology (Bollerslev, 1986) used in many previous studies. We find that the time series of total spillovers is similar regardless of the volatility proxy used and spillovers increased dramatically during the global financial crisis of 2008 and the European sovereign debt crisis that followed. More differences arise when comparing directional spillovers to and from individual stock markets, particularly when using GARCH based estimations. We find that the larger stock markets from the advanced western economies, particularly the US, dominate volatility transmission to other markets. Emerging markets such as China, India and Brazil are still relatively isolated and contribute less to global volatility spillovers, though their contribution has increased considerably after 2006. We investigate potential determinants of net spillovers between markets and find that the level of volatility in one market relative to that in other markets is the most important factor in increasing spillovers transmitted.
Author :Constantin Zopounidis Publisher :Springer Science & Business Media ISBN 13 :0387766820 Total Pages :494 pages Book Rating :4.3/5 (877 download)
Book Synopsis Handbook of Financial Engineering by : Constantin Zopounidis
Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Book Synopsis Common Short-term Volatility on International Stock Markets by : Johan Knif
Download or read book Common Short-term Volatility on International Stock Markets written by Johan Knif and published by . This book was released on 1998 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Data Mining VIII written by A. Zanasi and published by WIT Press. This book was released on 2007 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information Engineering Management has found applications in many areas, including environmental conservation, economic planning, resource integration, cartography, urban planning, risk assessment, pollution control and transport management systems. Technology plays an active role in the relationship of Data Mining to environmental conservation planning.Bringing together papers presented at the Eighth International Conference on Data, Text and Web Mining and their Business Applications, this book addresses the new developments in this important field. Featured topics include: Text Mining; Web Content, Structures and Usage Mining; Clustering Technologies; Categorisation Methods; Link Analysis; Data Preparation; Applications in Business, Industry and Government; Applications in Science Engineering; National Security; Customer Relationship Management; Competitive Intelligence; Mining Environment and Geospatial Data; Business Process Management (BPM); Enterprise Information Systems; Applications of GIS and GPS; Applications of MIS; Remote Sensing; Information Systems Strategies and Methodologies and Bio Informatics.