Essays On Volatility And Risk In Financial Markets
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Essays On Volatility And Risk In Financial Markets
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Author : Kwanho Kim
language : en
Publisher:
Release Date : 1993
Essays On Volatility And Risk In Financial Markets written by Kwanho Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Euro-dollar market categories.
Essays On The Transmission Of Risk And Volatility Across International Financial Markets
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Author : Evan Warshaw
language : en
Publisher:
Release Date : 2018
Essays On The Transmission Of Risk And Volatility Across International Financial Markets written by Evan Warshaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Essays In Empirical Finance
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Author : Anders C. Johansson
language : en
Publisher: Goteborg University
Release Date : 2007
Essays In Empirical Finance written by Anders C. Johansson and has been published by Goteborg University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Capital market categories.
Essays On Financial And Economic Risks
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Author : Tengdong Liu
language : en
Publisher:
Release Date : 2013
Essays On Financial And Economic Risks written by Tengdong Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Economics categories.
This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These risk types are related to stock, bond and commodity markets, financial stress and country risk ratings. The first essay investigates directional relationships, regime variances, transition probabilities and expected regime durations for two systems of economic and financial variables. The first system consists of daily series which include credit and market risks. The second system is based on monthly data, and encompasses credit, and market risks and economic activity and oil variables. The methodology is based on the Markov-Switching cointegrated VAR model. The results suggest there is a pronounced regime-specific behavior in both systems with FTP-MS model. There is a significant difference between the higher expected duration in the low volatility regime and the lower duration in the high volatility regime in both systems. Both models suggest that during the 2007/2008 Great Recession, the system stays mainly in regime 2 but returns to the normality state in the 2009 recovery period. The fundamental variables (industrial production, oil prices and the real interest rate) have varying effects in both regimes and both systems. Quantitative easing has significant effects on the bond expected volatility index MOVE in the high volatility regime and industrial production in both regimes. I also examine the driving forces of the time-varying transition probabilities and find that increases of oil price will decrease the probability that the financial markets stay in the low volatility regime. The second essay examines the asymmetric adjustments of the stock markets of the five BRICS countries (Brazil, Russia, India, China and South Africa) to changes in the economic, financial and political country risk ratings of these countries in the short run and long run, using the momentum threshold autoregression (MTAR) and the vector error-correction(VEC) models. The findings suggest that the long-run relationships between these four variables respond asymmetrically depending on the direction of the shocks. The adjustment is faster when the spread between the actual level of stock market index and the level suggested by country risk ratings is narrowing than when it is widening, except for Russia which has the opposite response. The Chinese stock market seems to have the fastest adjustments in the short-and long-run among those of the five BRICS. In terms of the three country risk ratings the financial risk ratings for the five BRICS show the most responsiveness to all the variables in the long-run, while the political risk ratings exhibit the least. The economic and political risk ratings show the fastest adjustments for Brazil, while the financial risk rating is most pronounced in Russia. The third essay examines the Value-at-Risk for ten euro-zone equity markets individually and when divided into two groups: PIIGS and the Core, employing four VaR estimation methods. The results are evaluated according to four statistical properties as well as the Basel capital requirements for the period including the 2007/2008 financial crisis. The estimation and the evaluation are applied to the individual assets as well as to the portfolios consisting of the two groups. The results demonstrate that the CEVT method applied to the ten individual equity assets meet all the statistical criteria the best. The two optimal equity portfolios do not show diversification benefits as the PIIGS portfolio selects Spain's IBEX only and that of the Core opts for Austria's ATX only. The asset class-augmented portfolio that includes the Austrian (ATX) index, oil and gold gives the highest diversification gains. Adding other commodities such as corn and silver, or commodities indices to the augmented portfolio does not enhance the gains. At the optimal portfolio level, the Duration-Peak-Over-the-Threshold (DPOT) is recommended the best in terms of satisfying the Basel rules.
Essays On Information Aggregation Herding And Volatility In Financial Markets
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Author : Vladyslav Yuriyvich Sushko
language : en
Publisher:
Release Date : 2011
Essays On Information Aggregation Herding And Volatility In Financial Markets written by Vladyslav Yuriyvich Sushko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Three Essays On Financial Markets
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Author : Pawan Jain
language : en
Publisher:
Release Date : 2013
Three Essays On Financial Markets written by Pawan Jain and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation is composed of three essays. The first essay investigates the information content of the limit order book (LOB) on the Shanghai Stock Exchange (SHSE), a purely order-driven market, for predicting future stock price volatility. We find that the LOB supply schedule consistently and significantly predicts the future price volatility. But this predictive power of LOB declines during the extreme market wide movements. We also find that buy orders are more informative over future price volatility than sell orders but sell (buy) orders becomes more informative during the extreme market wide down (up) movement days. Finally, we document that predictive power of LOB is short lived and markets are efficient over the longer time horizon. The second essay examines the effect of high frequency trading on market quality, systemic risk and trading strategies. In 2010 the Tokyo Stock Exchange, the largest exchange headquartered outside the US, introduced a new trading platform, Arrowhead, which reduced latency by 99.97% and increased co-located high-frequency trading from zero to 36% of volume. Arrowhead improved market liquidity and reduced volatility, but it also amplified systematic risks factors like quotes to trade ratio, order-flow autocorrelation and cross correlation, and tail risks. Arrowhead also affected trading strategies by increasing trade price predictability and the use of fleeting orders. Cost of immediacy serves as a channel through which reduced latency affects market quality, systematic risks, and trading outcome. The third essay analyzes the links between corporate finance policies and investment clienteles by comparing the cross-sectional variation in the dividend payout policies of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the country level variations: shareholder demand due to demographic variations and consumption needs, agency problems manifested in the extent of minority shareholder protection and business disclosures, and market quality in terms of transparency and liquidity; affect dividend payout policies. We find that firms have generous dividend payout policies when diverse shareholder demands are strong, extents of business disclosures and legal protections are weak, and the market qualities are poor. The empirical evidence supports the presence of strong dividend clienteles in a global setting. .
Three Essays On Financial Markets
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Author : Cagdas Tahaoglu
language : en
Publisher:
Release Date : 2021
Three Essays On Financial Markets written by Cagdas Tahaoglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.
Essays In Derivatives
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Author : Don M. Chance
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-05
Essays In Derivatives written by Don M. Chance and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-05 with Business & Economics categories.
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Three Essays On Volatility Issues In Financial Markets
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Author : George Panayotov
language : en
Publisher:
Release Date : 2005
Three Essays On Volatility Issues In Financial Markets written by George Panayotov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Options (Finance) categories.
Essays On Financial Market Volatility And Real Economic Activity
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Author : Sang Yup Choi
language : en
Publisher:
Release Date : 2015
Essays On Financial Market Volatility And Real Economic Activity written by Sang Yup Choi 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 dissertation studies how financial market volatility or uncertainty in the U.S. economy affects real economic activity both in the U.S. and other open economies. Chapter 1 critically examines a stylized fact about the effects of uncertainty shocks on the U.S. economy. A link between uncertainty and firms' investment, hiring, and production decisions has drawn much attention in contemporary discussions after the 2008 financial crisis. Bloom (2009) showed that uncertainty events, identified by spikes in stock market volatility, triggered immediate falls in output and employment, followed by rapid rebounds. I show that such stock market volatility shocks failed to produce this same pattern of responses after 1983. Chapter 2 studies the effects of risk aversion shocks, measured by increases in the VIX, on emerging market economies (EMEs). By estimating a structural vector autoregression (VAR) model, I find that, although risk aversion shocks do not have much impact on U.S. output, they do have a noticeable impact on the output of EMEs. To explain the contrast between the impact of risk appetite shocks on EMEs and the impact on the U.S. economy, a credit channel is proposed as a propagation mechanism. In the model, an increase in the VIX is translated to a risk-aversion shock that generates a "flight to quality." As international investors pull their money from EMEs, borrowing costs increase and domestic credit falls as a consequence of credit market imperfections. Higher borrowing costs, in turn, lead to a fall in investment that causes a real depreciation and a decline in total output through sectoral linkages. Finally, Chapter 3, which is co-authored with Prakash Loungani, studies the effect of uncertainty shocks on unemployment dynamics by separating out the role of aggregate and sectoral channels. Using SP500 data from the first quarter of 1963 through the third quarter of 2014, we construct a separate index to measure sectoral uncertainty and compare its effects on the unemployment rate with that of aggregate uncertainty in a standard VAR model, augmented by a local projection method. We find that aggregate uncertainty shocks lead to an immediate increase in unemployment, followed by swift reversals. In contrast, sectoral uncertainty shocks have a long-lasting impact on unemployment, with the peak impact occurring after two years. Our findings highlight an additional channel through which uncertainty shocks have persistent effects on unemployment by requiring substantial inter-industry labor reallocation.