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Author: Arushi Gaur
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The study investigated one of the vital issues on market microstructure, the relationship between volatility, stock returns and trading volume on Indian stock market for daily frequency from 2nd March 2009 to 31st July 2018. The investor's fear gauge measure of VIX was used as a volatility variable. The asymmetric impact of returns was estimated on volume and volatility changes. The MWALD granger test revealed that trading volume is undirectionally caused be negative returns and implied volatility VIX. Feedback relationship exists between positive returns, negative returns and VIX. Also positive and negative returns have a bi-directional causality. But the results of Toda-Yamamoto only capture the central values of dependent variable's distribution. Therefore we also estimate Quantile Regression models. The asymmetric significant relation of stock returns on changes of volatility and volume distribution was found and stronger at extreme ends of dependent variable's distribution. The study supports the behavioral justification for negative return-volatility contemporaneous relationship but not unconditionally. The evidence of volatility feedback and leverage hypothesis was also significant for lagged period. The contemporaneous negative relationship was found between volatility and volume changes highlighting that investors in India are risk-averse and informed. But the positive lagged effect of changes in volatility on trading volume supports SAIH and affirms the fact that when information gets assimilated with time, noise traders entre the market and increase liquidity. Thus their presence increases trading volume with increase in VIX level.
Author: Arushi Gaur
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The study investigated one of the vital issues on market microstructure, the relationship between volatility, stock returns and trading volume on Indian stock market for daily frequency from 2nd March 2009 to 31st July 2018. The investor's fear gauge measure of VIX was used as a volatility variable. The asymmetric impact of returns was estimated on volume and volatility changes. The MWALD granger test revealed that trading volume is undirectionally caused be negative returns and implied volatility VIX. Feedback relationship exists between positive returns, negative returns and VIX. Also positive and negative returns have a bi-directional causality. But the results of Toda-Yamamoto only capture the central values of dependent variable's distribution. Therefore we also estimate Quantile Regression models. The asymmetric significant relation of stock returns on changes of volatility and volume distribution was found and stronger at extreme ends of dependent variable's distribution. The study supports the behavioral justification for negative return-volatility contemporaneous relationship but not unconditionally. The evidence of volatility feedback and leverage hypothesis was also significant for lagged period. The contemporaneous negative relationship was found between volatility and volume changes highlighting that investors in India are risk-averse and informed. But the positive lagged effect of changes in volatility on trading volume supports SAIH and affirms the fact that when information gets assimilated with time, noise traders entre the market and increase liquidity. Thus their presence increases trading volume with increase in VIX level.
Author: Pramod Kumar Naik
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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Book Description
The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering trading volume as a mixing variable, and the risk-return relationship in the Indian stock market. Daily data from January 2, 1997 to May 30, 2013 for S&P CNX Nifty are used for the empirical analysis. First, we employ GARCH, EGARCH and GJR-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential Information Arrival Hypothesis (SIAH). The level of volatility persistence also compared. Finally, GARCH in mean extension has been tried to investigate whether the risk-return trade-off exist in the market. The findings show significant volatility asymmetry supporting the leverage effect; provide supports to MDH but the volatility shocks are found to be highly persistent even after incorporating trading volume. The study also finds evidence of no significant relationship between risk and return. The implication of the findings may be applicable to traders, speculator as well as the financial decision makers and practitioners as the trading volume reflects the information about market expectation.
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: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
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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
Author: Ms.Sonali Jain-Chandra
Publisher: International Monetary Fund
ISBN: 1475579713
Category : Business & Economics
Languages : en
Pages : 19
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Book Description
The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging Asia’s economies. Using a dynamic factor model and a structural vector auto-regression model, we show that long-term interest rates in Asia are indeed predominantly driven by global factors. However, monetary policy transmission mechanism remains effective in the region, as it operates predominantly through short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows.
Author: Zura Kakushadze
Publisher: Springer
ISBN: 3030027929
Category : Business & Economics
Languages : en
Pages : 480
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Book Description
The book provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students.
Author: Srikanta Patnaik
Publisher: Springer Nature
ISBN: 9811552436
Category : Technology & Engineering
Languages : en
Pages : 853
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Book Description
This book gathers selected high-quality papers presented at the International Conference on Machine Learning and Computational Intelligence (ICMLCI-2019), jointly organized by Kunming University of Science and Technology and the Interscience Research Network, Bhubaneswar, India, from April 6 to 7, 2019. Addressing virtually all aspects of intelligent systems, soft computing and machine learning, the topics covered include: prediction; data mining; information retrieval; game playing; robotics; learning methods; pattern visualization; automated knowledge acquisition; fuzzy, stochastic and probabilistic computing; neural computing; big data; social networks and applications of soft computing in various areas.
Author: Masahiro Kawai
Publisher: Edward Elgar Publishing
ISBN: 184980687X
Category : Business & Economics
Languages : en
Pages : 465
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Book Description
Managing Capital Flows provides analyses that can help policymakers develop a framework for managing capital flows that is consistent with prudent macroeconomic and financial sector stability. While capital inflows can provide emerging market economies with invaluable benefits in pursuing economic development and growth, they can also pose serious policy challenges for macroeconomic management and financial sector supervision. The expert contributors cover a wide range of issues related to managing capital flows and analyze the experience of emerging Asian economies in dealing with surges in capital inflows. They also discuss possible policy measures to manage capital flows while remaining consistent with the goals of macroeconomic and financial sector stability. Building on this analysis, the book presents options for workable national policies and regional policy cooperation, particularly in exchange rate management. Containing chapters that bring in international experiences relevant to Asia and other emerging market economies, this insightful book will appeal to policymakers in governments and financial institutions, as well as public and private finance experts. It will also be of great interest to advanced students and academic researchers in finance.
Author: Brett N. Steenbarger
Publisher: John Wiley & Sons
ISBN: 1118936825
Category : Business & Economics
Languages : en
Pages : 448
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Book Description
Practical trading psychology insight that can be put to work today Trading Psychology 2.0 is a comprehensive guide to applying the science of psychology to the art of trading. Veteran trading psychologist and bestselling author Brett Steenbarger offers critical advice and proven techniques to help interested traders better understand the markets, with practical takeaways that can be implemented immediately. Academic research is presented in an accessible, understandable, engaging way that makes it relevant for practical traders, and examples, illustrations, and case studies bring the ideas and techniques to life. Interactive features keep readers engaged and involved, including a blog offering ever-expanding content, and a Twitter feed for quick tips. Contributions from market bloggers, authors, and experts bring fresh perspectives to the topic, and Steenbarger draws upon his own experience in psychology and statistical modeling as an active trader to offer insight into the practical aspect of trading psychology. Trading psychology is one of the few topics that are equally relevant to day traders and active investors, market makers and portfolio managers, and traders in different markets around the globe. Many firms hire trading coaches, but this book provides a coach in print, accessible 24/7 no matter what the market is doing. Understand the research at the core of trading psychology Examine the ways in which psychology is applied in real-world trading Implement practical tips immediately to see first-hand results Gain the perspective and insight of veteran traders who apply these techniques daily While markets may differ in scale, scope, and activity, humans remain human, with all the inherent behavioral tendencies. Studying the market from the human perspective gives traders insight into how human behavior drives market behavior. Trading Psychology 2.0 gives traders an edge, with expert guidance and practical advice.
Author: Gregory Connor
Publisher: Princeton University Press
ISBN: 1400835291
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
