Author: Jun Lu
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
Book Description
Empirical Analysis of Stock Returns and Volatility: Evidence from Three European Stock Markets
Author: Jun Lu
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
Book Description
Volatility Forecasting and the Macroeconomic Impact on Returns and Volatility of Returns
Author: Tomasz Bielawski
Publisher:
ISBN:
Category :
Languages : en
Pages : 108
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 108
Book Description
Empirical Studies on Volatility in International Stock Markets
Author: Eugenie M. J. H. Hol
Publisher:
ISBN: 9781475751307
Category :
Languages : en
Pages : 180
Book Description
Publisher:
ISBN: 9781475751307
Category :
Languages : en
Pages : 180
Book Description
Stock Returns and Volatility
Author: Mbodja Mougoue
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper examines the relationship between stock returns and volatility in the German and French equity markets. Under the assumption of a conditional student t density function, the results indicate that stock returns in both countries may be described by the GARCH (1,1) model. The results also provide evidence that the 1987 stock market crash affected the mean-variance relationship in both countries, and the model's fit is significantly improved by explicitly taking the crash into account. Interestingly, the index of relative risk aversion is positive in both countries but is only significant in Germany when the stock market crash is incorporated into the analysis. The results also reveal that settlement delays significantly affect return in both countries and volatility in France. Furthermore accounting for structural shifts is important in ascertaining the relationship between stock returns and volatility.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper examines the relationship between stock returns and volatility in the German and French equity markets. Under the assumption of a conditional student t density function, the results indicate that stock returns in both countries may be described by the GARCH (1,1) model. The results also provide evidence that the 1987 stock market crash affected the mean-variance relationship in both countries, and the model's fit is significantly improved by explicitly taking the crash into account. Interestingly, the index of relative risk aversion is positive in both countries but is only significant in Germany when the stock market crash is incorporated into the analysis. The results also reveal that settlement delays significantly affect return in both countries and volatility in France. Furthermore accounting for structural shifts is important in ascertaining the relationship between stock returns and volatility.
Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area
Author: Colm Kearney
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 Euro area stock markets over the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find a rise in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to the United States, however, market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are pro-cyclical, and they rise during times of low market returns. Market and average idiosyncratic volatility jointly predict market wide returns, and the latter impact upon both market and idiosyncratic volatility. This has asset pricing and risk management implications.
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 Euro area stock markets over the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find a rise in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to the United States, however, market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are pro-cyclical, and they rise during times of low market returns. Market and average idiosyncratic volatility jointly predict market wide returns, and the latter impact upon both market and idiosyncratic volatility. This has asset pricing and risk management implications.
An Empirical Study of Volatility in Five European Stock Markets Using Garch Models
Author: Ari Agopyan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Empirical Analysis of Stock Return and Volatility Spillovers
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 136
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 136
Book Description
Switching Volatility in Emerging Stock Markets
Author: Georgios P. Kouretas
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and the degree of correlation across these markets. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crisis while there is a transition to the low volatility regime as they approach the accession to EU in 2004.
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and the degree of correlation across these markets. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crisis while there is a transition to the low volatility regime as they approach the accession to EU in 2004.
Stock Market Volatility
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
Book Description
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
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
Book Description
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
Efficiency and Anomalies in Stock Markets
Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.