Empirical Studies On Volatility In International Stock Markets
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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.
Volatility In International Stock Markets An Empirical Study
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Author : Shalu Lu
language : en
Publisher: Shalu
Release Date : 2022-11-11
Volatility In International Stock Markets An Empirical Study written by Shalu Lu and has been published by Shalu this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-11 with Business & Economics categories.
Business investment is concerned with the provision of funds for investment in business enterprise, an investor must offer whatever is invested in this way, and this means that the investor must sacrifice consumption and save to offer the funds. Savers and the users of their funds come jointly in the market for investment, where the normal rules of supply and demand apply unless there is government interfering with interest rates. The cost of money is the rate of interest rewarded for the use. If the demand for investment funds is greater than the funds offered for investment by savers, then the rate of interest will increase until people in the market are induced to sacrifice consumption and make their reserves available for investment.
Anatomy Of Global Stock Market Crashes
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Author : Gagari Chakrabarti
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-01-05
Anatomy Of Global Stock Market Crashes written by Gagari Chakrabarti 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 2012-01-05 with Business & Economics categories.
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
Stock Market Volatility
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Author : Greg N. Gregoriou
language : en
Publisher: CRC Press
Release Date : 2009-04-08
Stock Market Volatility written by Greg N. Gregoriou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-08 with Business & Economics categories.
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
Volatility And Openness Of Emerging Markets
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Author : Vince Hooper
language : en
Publisher:
Release Date : 1996
Volatility And Openness Of Emerging Markets written by Vince Hooper and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Developing countries categories.
Stability Of International Stock Markets
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Author : Niḍāl Rashīd Ṣabrī
language : en
Publisher: Nova Science Publishers
Release Date : 2007
Stability Of International Stock Markets written by Niḍāl Rashīd Ṣabrī and has been published by Nova Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
The findings of this book are based on legal aspects of the majority of the world jurisdictions, and the majority of the existing and new introduced practices to the world stock markets including the role of international commissions, and organizations in this regards. Examination of the stock market efficiency and stability presented in the sixth and seventh chapters is built on empirical investigations, opinions surveys of stock markets experts, and state of arts of the related empirical studies, official reports, and suggested recommendations and best practices. Finally, this book is an attempt to help prevent the next stock market crisis, or to understand how to deal with, in order to shorten the period of declining, shorting the period of recovering, and to reduce the effect of irrational trading during unstable trading.
Volatility And Openness Of Emerging Markets
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Author : Vincent J. Hooper
language : en
Publisher:
Release Date : 2008
Volatility And Openness Of Emerging Markets written by Vincent J. Hooper and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper provides some empirical evidence on the relationship between the volatility and quot;opennessquot; of emerging stock markets (ESMs). The primary null hypothesis of this research is that volatility is not correlated with openness. The study uses a factor analysis to condense the number of quot;opennessquot; attributes to a smaller number of dimensions. Volatility, as measured by the standard deviation of returns on the emerging stock market indices over an ex post five year period is regressed against the factors. The findings of this research indicate that the volatility of emerging markets is positively correlated with the degree of openness. The results have relevant policy implications for both governments of developing countries who should be aware of the relationship between volatility and openness, and the international investor.
Financial Market Volatility And The Implications For Market Regulation
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Author : Louis O. Scott
language : en
Publisher: International Monetary Fund
Release Date : 1990-11-01
Financial Market Volatility And The Implications For Market Regulation written by Louis O. Scott and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-11-01 with Business & Economics categories.
Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.
International Mutual Funds Capital Flow Volatility And Contagion A Survey
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Author : Mr.R. Gelos
language : en
Publisher: International Monetary Fund
Release Date : 2011-04-01
International Mutual Funds Capital Flow Volatility And Contagion A Survey written by Mr.R. Gelos and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-01 with Business & Economics categories.
Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of portfolio flows and the mechanisms behind the transmission of financial shocks across countries. This paper provides a brief survey of this literature, with a focus on the empirical evidence for emerging markets. Overall, the behavior of international mutual funds is complex and overly simplistic characterizations are misleading. However, there is broad-based evidence for momentum trading among funds. Moreover, funds tend to avoid opaque markets and assets, and this behavior becomes more pronounced during volatile times. Portfolio rebalancing mechanisms are clearly important in explaining contagion patterns, even in the absence of common macroeconomic fundamentals. From a surveillance point of view, this implies that monitoring the exposures of large investors at a micro level is crucial to assess vulnerabilities.
Global Stock Markets
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Author : Wolfgang Drobetz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Global Stock Markets written by Wolfgang Drobetz 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 2013-06-29 with Business & Economics categories.
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.