Speculation and Return Volatility PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Speculation and Return Volatility PDF full book. Access full book title Speculation and Return Volatility by Rui Wang. Download full books in PDF and EPUB format.
Author: Rui Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Rui Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Ramesh Thimmaraya
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
Get Book Here
Book Description
The stability of an economy is directly linked to the stability of the capital markets in which it operates and vice versa. The capital market stability is in turn linked to the asset price dynamics; most of these asset prices are modelled based on expected rate of return. The expected rate of return and direction of markets is determined from the implied market volatility (VIX index). The implied volatility is a forward looking variable which tells about the realised market volatility based of market participant's expectations. Most of the times this implied volatility is over estimated compared to the realised volatility due to the speculative behaviour of the market participants. This speculative behaviour causes virtual dynamics in the implied variables which in turn caused virtual dynamics in the individual asset prices. The virtual dynamics in the asset prices causes the divergence in the realised or fundamental value of the market; which can be attributed to the irrational behavioural of the financial market participants. The present paper aims at understanding the source and level of the speculation, and also an attempt has been made to develop a novel quantitative behavioral framework to understand and rectify this speculative behaviour. An empirical analysis has been carried out on the S&P 500 Index and CBOE VIX Index to validate the proposed model. Some interesting results have been obtained from the present study which clearly shows the quantitative behavioural model has the capability to convergence the expected volatility with the realised market volatility, this helps the market participants, regulators and policy makers to make necessary corrections based on the predicted speculation.
Author: Zhuanxin Ding
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 31
Get Book Here
Book Description
Author: Thierry Foucault
Publisher:
ISBN:
Category :
Languages : en
Pages : 75
Get Book Here
Book Description
We show that retail trading activity has a positive effect on the volatility of stock returns. To identify this effect, we use a reform of the French stock market that triggers a drop in retail trading activity by raising the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by twenty basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades. We argue that these findings are consistent with the view that some retail investors behave as noise traders.
Author: Emanuel Derman
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Get Book Here
Book Description
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring the consequences of two simple hypotheses about risk.The first is a common-sense invariance principle: assets with the same perceived risk must have the same expected return. It leads directly to the well-known Sharpe ratio and the classic risk-return relationships of Arbitrage Pricing Theory and the Capital Asset Pricing Model.The second hypothesis concerns the perception of time. We conjecture that in times of speculative excitement, short-term investors may instinctively imagine stock prices to be evolving in a time measure different from that of calendar time. They may perceive and experience the risk and return of a stock in intrinsic time, a dimensionless time scale that counts the number of trading opportunities that occur, but pays no attention to the calendar time that passes between them.Applying the first hypothesis in the intrinsic time measure suggested by the second, we derive an alternative set of relationships between risk and return. Its most noteworthy feature is that, in the short-term, a stock's trading frequency affects its expected return. We show that short-term stock speculators will expect returns proportional to the temperature of a stock, where temperature is defined as the product of the stock's traditional volatility and the square root of its trading frequency. Furthermore, we derive a modified version of the Capital Asset Pricing Model in which a stock's excess return relative to the market is proportional to its traditional beta multiplied by the square root of its trading frequency.We hope that this model will have some relevance to the behavior of investors expecting inordinate returns in highly speculative markets.
Author: Marco Haase
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Granger causality (GC) tests are widely used when it comes to empirically address the dynamic relationship between speculative activities and pricing on commodity markets. However, the sheer number of studies and their heterogeneity makes it extremely difficult - if not impossible - to compare their results and to derive meaningful conclusions. This is the main objective of this paper, which analyzes a consistent dataset with a homogeneous estimation approach. We analyze futures returns and volatilities of 28 commodities for three maturities, from January 2006 to March 2015, in relation to three speculation proxies. Overall, we find a larger number of significant GC effects for volatilities than for returns. The volatility effect is mostly negative, i.e. more speculation is followed by lower volatilities. This is particularly true if the Working index used as speculation proxy. The majority of destabilizing effects (positive relations) if any, is found in livestock. However, no such effects seem to be present in typical agricultural commodities. Mixed evidence is found for softs. Apart from statistical significance, the explained variance of returns and volatilities is below 8% and therefore economically small or at best moderate.
Author: Philip L. Carret
Publisher: Pickle Partners Publishing
ISBN: 1786256746
Category : Business & Economics
Languages : en
Pages : 401
Get Book Here
Book Description
Philip L. Carret (1896-1998) was a famed investor and founder of The Pioneer Fund (Fidelity Mutual Trust), one of the first Mutual Funds in the United States. A former Barron’s reporter and WWI aviator, Carret launched the Mutual Trust in 1928 after managing money for his friends and family. The initial effort evolved into Pioneer Investments. He ran the fund for 55 years, during which an investment of $10,000 became $8 million. Warren Buffett said of him that he had “the best long term investment record of anyone I know” He is most famous for the long successful track record he achieved investing in Common Stocks and for being one of Warren Buffett’s role models. This book comprises a series of articles written for Barron’s and published in book form in 1930.—Print Ed.
Author: Robert J. Shiller
Publisher: MIT Press
ISBN: 9780262691512
Category : Business & Economics
Languages : en
Pages : 486
Get Book Here
Book Description
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Author: Matthias Kalkuhl
Publisher: Springer
ISBN: 3319282018
Category : Business & Economics
Languages : en
Pages : 620
Get Book Here
Book Description
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.
Author: Samya Beidas-Strom
Publisher: International Monetary Fund
ISBN: 1498333486
Category : Business & Economics
Languages : en
Pages : 34
Get Book Here
Book Description
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.
