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Author: Yang Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Yang Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ludger Hentschel
Publisher:
ISBN:
Category :
Languages : en
Pages : 119
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Book Description
Author: Ryuichi Yamamoto
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 67
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Book Description
Author: Geert Bekaert
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 76
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Book Description
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.
Author: Turgut Kisinbay
Publisher: International Monetary Fund
ISBN: 1451855303
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Author: Chris T. Stivers
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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.
Author: Ahmet Mufit Arberk
Publisher:
ISBN:
Category :
Languages : en
Pages : 201
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Author: John Y. Campbell
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 68
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Book Description
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.
Author: Hersh Shefrin
Publisher: Elsevier
ISBN: 0080482244
Category : Business & Economics
Languages : en
Pages : 636
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Book Description
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Author: Chu-hsiung Lin
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
This study investigates the behavior of the asymmetric volatility of all the individual stocks in the Taiwan stock market. The daily data from 1993 to 2001 are used, covering the period of the Asian financial crisis. The empirical results show that only 15% and 25% of the listed companies selected as samples exhibited asymmetric return volatility before and after the Asian financial crisis, respectively. This result differs from those of current studies on index and individual stocks. Furthermore, it was found that before and after the financial crisis, the volatility asymmetry on the return of individual stock has not been the same. This implies that the structural change of the market did affect asymmetric volatility behavior. The leverage effect hypothesis can explain the phenomenon of asymmetric volatility.
