Correlations In Price Changes And Volatility Across International Stock Markets
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Correlations In Price Changes And Volatility Across International Stock Markets
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Author : Yasushi Hamao
language : en
Publisher:
Release Date : 1989
Correlations In Price Changes And Volatility Across International Stock Markets written by Yasushi Hamao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Stocks categories.
Correlations In Price Changes And Volatility Across International Stock Markets
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Author : Yasushi Hamao
language : en
Publisher:
Release Date : 2006
Correlations In Price Changes And Volatility Across International Stock Markets written by Yasushi Hamao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Author : Takatoshi Itō
language : en
Publisher:
Release Date : 1993
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Takatoshi Itō and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Rate of return categories.
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Author : Allan William Kleidon
language : en
Publisher:
Release Date : 1994
Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Allan William Kleidon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Rate of return categories.
International Market Correlation And Volatility
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Author : Bruno H. Solnik
language : en
Publisher:
Release Date : 1996
International Market Correlation And Volatility written by Bruno H. Solnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Author : Takatoshi Ito
language : en
Publisher:
Release Date : 2010
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Takatoshi Ito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
Correlations In The U S And Japan Stock Markets Before And After The October 1987 Crash
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Author : Yin-Wong Cheung
language : en
Publisher:
Release Date : 1991
Correlations In The U S And Japan Stock Markets Before And After The October 1987 Crash written by Yin-Wong Cheung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Stock Market Crash, 1987 categories.
Empirical Studies On Volatility In International Stock Markets
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Author : Eugenie M.J.H. Hol
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Empirical Studies On Volatility In International Stock Markets written by Eugenie M.J.H. Hol and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Do Bulls And Bears Move Across Borders
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Author : Wen-Ling Lin
language : en
Publisher:
Release Date : 1991
Do Bulls And Bears Move Across Borders written by Wen-Ling Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Stocks categories.
This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (Mew York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the October 1987 Crash, the Tokyo overnight returns were not significantly affected by New York daytime returns. We propose and estimate a signal extraction model with GARCH processes to determine the global factor from daytime returns. This is the problem of setting the opening price of a domestic market conditional on the foreign daytime returns. We also investigate lagged return and volatility spillovers. Except for a lagged return spillover from New York to Tokyo for the period after the Crash, there are no significant lagged spillovers in returns or in volatilities.
Dynamic Correlation Between Selected World Major Stock Markets And Commodity Markets
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Author : Yongbo Qiao
language : en
Publisher:
Release Date : 2015
Dynamic Correlation Between Selected World Major Stock Markets And Commodity Markets written by Yongbo Qiao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This thesis studies the dynamic correlation between price variation of bulk international commodities and major stock markets. Dynamic conditional correlation (DCC) multivariate GARCH model is used to analyze the volatility spillover effect between world major indexes and bulk commodities prices from January 1st, 2003 to December 31st, 2012, for petroleum, copper, and aluminum, and China (SSE), USA (S&P 500), Russia (RTS), Australia (S&P/ASX 200), and Canada (S&P/TSX). Moreover, this study investigates whether the 2007 global financial crisis has strengthened or weakened the dynamic correlations between stock markets and commodity markets. The results show that the dynamic correlations between selected world major stock indexes and commodity prices after the financial crisis have increased than that before the crisis, and the trend of integration of world economic volatility is further verified. --Leaf i.