International Market Correlation And Volatility
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International Market Correlation And Volatility
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Author : Bruno H. Solnik
language : en
Publisher:
Release Date : 2000
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 2000 with categories.
Extreme Correlation Of International Equity Markets
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Author : Francois M. Longin
language : en
Publisher:
Release Date : 2017
Extreme Correlation Of International Equity Markets written by Francois M. Longin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ldquo;extreme value theoryrdquo; to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
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.
Correlations In Emerging Market Bonds
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Author : Mr.A. Javier Hamann
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
Correlations In Emerging Market Bonds written by Mr.A. Javier Hamann 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 2010-01-01 with Business & Economics categories.
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
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.
Extreme Correlation Of International Equity Markets
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Author : François M. Longin
language : en
Publisher:
Release Date : 2000
Extreme Correlation Of International Equity Markets written by François M. Longin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with International finance categories.
Stock Market Volatility And Corporate Investment
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Author : Zuliu Hu
language : en
Publisher: International Monetary Fund
Release Date : 1995-10-01
Stock Market Volatility And Corporate Investment written by Zuliu Hu 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 1995-10-01 with Business & Economics categories.
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
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.
Linkages Among Asset Markets In The United States
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Author : Mr.Salim M. Darbar
language : en
Publisher: International Monetary Fund
Release Date : 1999-11-01
Linkages Among Asset Markets In The United States written by Mr.Salim M. Darbar 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 1999-11-01 with Business & Economics categories.
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.
Risk Management In Volatile Financial Markets
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Author : Franco Bruni
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Risk Management In Volatile Financial Markets written by Franco Bruni 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 2012-12-06 with Business & Economics categories.
intense competition on banks and other financial institutions, as a period of oligopoly ends: more rather than less innovation is needed to help share undi versifiable risks, with more attention to correlations between different risks. Charles Goodhart of the London School of Economics (LSE), while ques tioning the idea that volatility has increased, concludes that structural changes have made regulation more problematic and calls for improved information availability on derivatives transactions. In a thirteen country case study of the bond market turbulence of 1994, Bo rio and McCauley of the BIS pin the primary causes of the market decline on the market's own dynamics rather than on variations in market participants' apprehensions about economic fundamentals. Colm Kearney of the Univer sity of Western Sydney, after a six country study of volatility in economic and financial variables, concludes that more international collaboration in man aging financial volatility (other than in foreign exchange markets) is needed in Europe. Finally, Stokman and Vlaar of the Dutch central bank investigate the empirical evidence for the interaction between volatility and international transactions in real and financial assets for the Netherlands, concluding that such influence depends on the chosen volatility measure. The authors sug gest that there are no strong arguments for international restrictions to reduce volatility. INSTITUTIONAL ISSUES AND PRACTICES The six papers in Part C focus on what market participants are doing to manage risk.