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Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 1649970536
Category : Art
Languages : en
Pages : 131
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Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 1649970536
Category : Art
Languages : en
Pages : 131
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Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Author: Khositkulporn Paramin
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659800658
Category :
Languages : en
Pages : 212
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Book Description
The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence provide an understanding of the dominant factors affecting stock market volatility in Thailand and measure the contagion effects of stock market volatility in Thailand on other South-East Asian stock markets. The study adopted quantitative methods in testing the research hypotheses. The multiple regression and GARCH models have been employed to examine the factors affecting Thailand stock market volatility. Also, the correlation coefficient and Granger causality tests were employed to hypothesis testing for contagion in South-East Asia. The study results indicate that the movements of major stock markets and political uncertainty have direct effects on stock market volatility, while the movements of oil prices have an indirect effect on firm performance. The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market independent.
Author: Fidel Farias
Publisher: GRIN Verlag
ISBN: 3668256152
Category : Business & Economics
Languages : en
Pages : 108
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Book Description
Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt
Author: Stephane Goutte
Publisher: World Scientific
ISBN: 981121025X
Category : Business & Economics
Languages : en
Pages : 355
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Book Description
The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Author: Stéphane Goutte
Publisher: Springer Nature
ISBN: 3030985423
Category : Business & Economics
Languages : en
Pages : 137
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Book Description
This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.
Author: Sang Hoon Kang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this study, we investigated volatility transmission effects be-tween the US and six Asian markets -- China, Hong Kong, Japan, Korea, Singapore, and Taiwan -- using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse response function (VIRF). Our empirical findings extend several recent reports. First, the empirical results of this study show that the US and Asian stock markets are interrelated by their volatility. Second, we found that the 2008 global financial crisis intensified volatility transmission across the US and Asian stock markets. Third, we found that one large shock, the bankruptcy of Lehman Brothers, resulted in an increase in expected conditional volatilities in the post-bankruptcy era. Moreover, the magnitude and the persistence of the volatility impulse responses differed across Asian stock markets due to differing investor reactions to shocks in each market.
Author: Mr.Joshua Aizenman
Publisher: International Monetary Fund
ISBN: 145193596X
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both domestic and foreign financial spreads and the producers’ cost of capital, resulting in lower employment and higher incidence of default. Welfare effects are nonlinearly related to the degree of international financial integration.
Author: Richard Topol
Publisher:
ISBN:
Category : Commerce
Languages : en
Pages : 20
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Book Description
Author: Sebastian Edwards
Publisher:
ISBN:
Category : Capital movements
Languages : en
Pages : 56
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Book Description
In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are, in general, short-lived, lasting from two to twelve weeks. We find strong evidence of volatility co-movements across countries, especially among the Mercosur countries.
Author: John Beirne
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 42
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Book Description
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
