Last edited by Arashitilar
Tuesday, July 14, 2020 | History

5 edition of Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance) found in the catalog.

Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance)

by Eugenie M.J.H. Hol

  • 147 Want to read
  • 3 Currently reading

Published by Springer .
Written in English

    Subjects:
  • Econometrics,
  • Investment & securities,
  • Securities,
  • Finance,
  • Business & Economics,
  • Business / Economics / Finance,
  • Prices,
  • Business/Economics,
  • Options (Finance),
  • Investments & Securities - Stocks,
  • Economics - General,
  • Exports & Imports,
  • Business & Economics / Econometrics,
  • Business & Economics-Economics - General,
  • Business & Economics-Exports & Imports,
  • Stock price forecasting,
  • Mathematical models

  • The Physical Object
    FormatHardcover
    Number of Pages180
    ID Numbers
    Open LibraryOL8372707M
    ISBN 101402075197
    ISBN 109781402075193

    The empirical results provided evidence that the daily stock market volatility exhibits long-range dependency. The fractional integrated behaviour in the conditional variance of the daily Tunisian stock indexes have important implications on efficiency tests and on optimal portfolio allocations and consequently for optimal hedging decisions. Stock markets in general are considered volatile. Volatility plays an important role in measuring the risk–return. There are so many factors that make the stock market volatile; it is of general interest to understand if the volatility of the stock market in India in line with the volatility .

    event-related returns is determined by the volatility of individual stock re-turns relative to the market or industry ~Campbell et al. ~!, Chapter 4!. Finally, the price of an option on an individual stock depends on the total volatility of the stock return, including industry-level and idiosyncratic vol-atility as well as market volatility. Emon Kalyan Chowdhury, Functioning of Fama-French Three-Factor Model in Emerging Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh, Journal of Financial Risk Management, /jfrm, 06, 04, (), ().

      However, stock market participants should also expect periodic bouts of volatility, and the last 6 months provide an excellent example of this volatility in practice. This newsletter will address stock market volatility, including a discussion of what took place in markets over the prior two quarters and what this means in context. A large number of empirical studies have been accomplished to address the concept of volatility of stock markets using the family of ARCH/GARCH processes. The progress in such studies is provided for the purpose of estimation and prediction of the conditional variance of stock .


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Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance) by Eugenie M.J.H. Hol Download PDF EPUB FB2

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 by: 6. Download Citation | Empirical Studies on Volatility in International Stock Markets | List of Figures. List of Tables. 1: Introduction.

2: Asset Return Volatility Models. Empirical Stylised. 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. The material in this chapter was previously published in the Journal of Applied Econometrics () 17, –, as “The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets” by S.J.

Koopman and E. Hol Uspensky. Reprinted with permission of John Wiley & Sons Limited. Google ScholarCited by:   This article was prepared for the NBER Conference on Stock Market Volatility, March 16–19, ; an earlier version was presented to the LSE Financial Markets Group Conference on Stock Market Behavior in March and to the European Meeting Cited by:   The strand of empirical literature concerned with volatility spillovers on international financial markets goes back to the early papers of Engle et al.

() and Hamao et al. (), in which GARCH models fitted to intra-day returns are used to measure volatility transmissions from one period to the next within markets (‘heat waves’) and.

volatility indices, both across international stock markets and assets, is an important motivation for our study. In this dimension, our study extends the work of Dotsis et al.(), who consider several international stock volatil-ity indices, because it includes, in addition to that, volatility indices for commodity and foreign exchange markets.

Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method.

Diao Yanhua, Guo Siliang, Empirical Study on Stock Return Volatility in China's Stock Market. North-Holland Stock returns and volatility: An empirical study of the UK stock market Ser-Huang Poon and Stephen J.

Taylor* Lancaster University. Lancaster LA I 4YX, UK Received May Attempts to quantify the relationship between stock returns and volatility have produced conflicting conclusions in recent U.S. studies.

The present study attempts to track the transmission of volatility across major international stock markets over a span of 20 years, which includes both crisis (contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follows a pattern.

The study uses bi-variate EGARCH model in order to capture spillover between a pair of stock markets and the. Downloadable. This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state.

The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. This book addresses contemporary empirical issues in Islamic stock markets including volatility, efficiency and Sukuk defaults.

The studies contained within this book consider a combination of pure Islamic stock markets and comparative studies, with reference to their conventional counterparts. ISBN: X: OCLC Number: Description: 1 online resource (xiv, pages) Contents: 1.

Introduction Asset Return Volatility Models The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets Forecasting with Volatility Models Implied Volatility Forecasting the Variability of Stock Index Returns with Stochastic.

Free 2-day shipping. Buy Dynamic Modeling and Econometrics in Economics and Finance: Empirical Studies on Volatility in International Stock Markets (Paperback) at An empirical analysis of international stock market volatility transmission Indika Karunanayake University of Wollongong, [email protected] Abbas Valadkhani University of Wollongong, [email protected] Martin O’Brien University of Wollongong Research Online is the open access institutional repository for the University of Wollongong.

STUDIES, NOIDA,SYMBIOSIS INTERNATIONAL UNIVERSITY, PUNE in the world Indian stock market is one of the emerging markets. volatility: empirical evidence on. Read Book Online Now ?book=Read The Effects of Real Exchange Rate Volatility on Sectoral Investment: Empirical Evidence.

Stock Market Volatility: A Review of the Empirical Literature This study aims to gain insights on various issues that surround stock market volatility. For this purpose, more than forty empirical studies have been examined to critically assess issues like, heteroscedasticity, asymmetric effect, risk.

Book to Market and Size as Determinants of Stock Returns of Banks: An Empirical Investigation from MENA Countries book-to-market equity during the period of to According to Fama and French (), the associated risk premium of the size and Book to Market their studies were among the first empirical studies that have rejected.

The study uses quarterly panel data of 39 automakers quoted on the stock exchanges in the 11 countries. It studies the effects of 19 macroeconomic variables from January to Decemberand proposes the mixed-effect model constructed based on employing genetic algorithm and AIC criterion, and compares its explanatory power with the.

Brazilian stock market. The analysis exhibits that the volatility shocks are quite persistent in all country’s stock market.

Further the asymmetric GARCH models find a significant evidence of asymmetry in stock returns in all six country’s stock markets.

This study confirmed the presence of leverage effect in the returns series.empirical studies investigating this research axis focused especially on the US market and other emerging markets (India, Korea and Japan), while studies on stock markets Europeans remain poorly treated.

It is in this framework we will explore the importance of implied volatility indices in explaining stock market.“Volatility in Stock Markets cover” a study of Volatility in Indian stock markets to understand the reasons for turbulence in the last two years.

M. T. Raju, Anirban Ghosh. in this article “Stock Market Volatility An - international Comparison” a study on. Existing studies of volatility across markets, (Bekaert and Harvey ).