Investors Trading Behaviour And Stock Market Volatility During Crisis Periods
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Investors Trading Behaviour And Stock Market Volatility During Crisis Periods
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Author : Guglielmo Maria Caporale
language : en
Publisher:
Release Date : 2019
Investors Trading Behaviour And Stock Market Volatility During Crisis Periods written by Guglielmo Maria Caporale and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our results suggest that the buy and sell trades have an asymmetric effect on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post-crisis buy trades affect volatility positively regardless of who trades (institutional or individual investors) and on what information (member, non-member). Most importantly, decomposing total buy and sell trades into trader-type categories reveals that some institutional investors are more informed traders that stabilize the market compared to individuals that always increase volatility. Foreign investors reduce volatility with their purchases and total trading activity in the whole Asian crisis sample, but only in the pre-crisis period before the recent global financial turmoil.
Handbook Of Investors Behavior During Financial Crises
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Author : Fotini Economou
language : en
Publisher: Academic Press
Release Date : 2017-06-24
Handbook Of Investors Behavior During Financial Crises written by Fotini Economou and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-24 with Business & Economics categories.
The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies
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
Individual Investors And Volatility
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Author : Thierry Foucault
language : en
Publisher:
Release Date : 2013
Individual Investors And Volatility written by Thierry Foucault 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.
We show that retail trading activity has a positive effect on the volatility of stock returns. To identify this effect, we use a reform of the French stock market that triggers a drop in retail trading activity by raising the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by twenty basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades. We argue that these findings are consistent with the view that some retail investors behave as noise traders.
Volatility In Financial Markets
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Author :
language : en
Publisher:
Release Date : 2015
Volatility In Financial Markets written by 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 focuses on volatility in financial markets, with a special concern for: (i) volatility transmission between different financial markets and asset categories and, (ii) the effect of macroeconomic announcements on the returns, volatility and correlation of stock markets. These issues are analysed taking into account the phenomenon of asymmetric volatility and incorporating the period of financial turmoil caused by the Global Financial Crisis. The study focuses the attention on the emerging markets of the region of Southeast Asia. The asymmetric behaviour of volatility refers to the empirical evidence according to which a negative return shock (unexpected drop in the value of the stock) generates an increase in volatility higher than a positive return shock (unexpected increase in the value of the stock) of the same size. In the financial literature two explanations of the asymmetric effect of news on stock return volatility have been put forward. The analysis of financial assets volatility is important to academics, policy makers, and financial market participants for several reasons. First, prediction of financial assets volatility is crucial to economic agents because it helps them make rational portfolio risk management decisions. Volatility is critically important to economic agents because it represents a measure of risk exposure in their investments. Furthermore, from a theoretical perspective, volatility occupies a central stage in pricing of derivative securities. For example, to price an option we need to know, as a risk measure, the volatility of the underlying asset from now until the option expires. Moreover, in a market risk context, it is vital to know the volatility of an asset in order to calculate the Value-at-Risk of a portfolio selection. Finally, volatility is important for the economy as a whole. Policy makers often rely on market estimates of volatility as a barometer for the vulnerability of the financial markets and the economy. Regarding the Asian markets, it is worth mentioning that in recent years, the interrelations between the US and the Asian markets have raised due to the increasing financial relations. One typical portfolio diversification strategy consists of investing in similar asset classes in multiple markets (international diversification). In order to make appropriate risk management strategies it is vital to know the characteristics of the markets of the different geographical areas and how the markets co-move. Likewise, it is very important to analyse which factors can influence the behaviour of the assets in the financial markets. Within Asian markets, this thesis distinguishes between mature and emerging countries. Japan represents the mature market and the emerging economies are divided into three groups: the Asian Tigers (tigers hereafter), the Asian Tiger Cub (cubs hereafter) economies and, finally, China. The objectives of this thesis are threefold. First, to explore volatility spillovers and the time-varying behaviour of the correlation between the US and the Asian stock markets. Second, to analyse how the macroeconomic events in the US affect the Asian stock market returns, volatility and correlation. Finally, to investigate volatility spillovers between equity and currency markets in Asia. Throughout these analyses, this dissertation aims to establish behaviour patterns depending on the level of development of the emerging country analysed. Furthermore, the sample period used in the analyses incorporates the period of the recent financial turmoil originated by the subprime mortgage market in the United States in the summer of 2007, with the aim of studying the effect of the Global Financial crisis on the patterns found. In general, the results of the three analyses of this dissertation show some interesting visions. While the volatility transmission pattern between the US and the Asian stock markets is mostly observed when the degree of development of the Asian country is higher, the effect of US macroeconomic news releases on these Asian markets is greater as the Asian market analysed is less developed. It is worth mentioning that China arises as a general exception of the three analyses, performing in an independent way with respect to the other Asian economies analysed. The reason of this behaviour can be due, on the one hand, to the fact that in the past decades China has been reaching market-based financial system and has been trying to open it up towards the international financial markets. In spite of these efforts, its financial market is still not entirely open to other countries worldwide. All in all, the results suggest that emerging Asian financial markets have thus far suffered only limited impact from the Global Financial crisis. However, heightened risk perception and declining investor confidence could trigger a sudden reversal of financial flows from these region's capital markets, pushing down asset prices and intensifying financial market volatility. The results of this dissertation may be useful for analysts, traders and portfolio managers. In an asset allocation framework, it is crucial to diversify the assets of a portfolio to diminish its risk. Considering international diversification, before composing a portfolio, it is very useful to know volatility spillovers across countries and asset classes. In this regard, it is vital to take into account the role of the currency market, not only because of the effect of exchange rate in foreign investments, but also for the relationship between the stocks in which to invest and the exchange rate of the related country. Likewise, macroeconomic news releases play a significant role in the stocks markets, hence it is very important to know the effect of the arrival of macroeconomic announcements on the returns, volatility and correlations of the stocks markets in which we want to invest. Finally, it is remarkable that the results of this thesis suggest that exchange rate policies should not be implemented without considering the repercussions on the stock market, and vice versa.
Herd Behavior In Financial Markets
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Author : Sushil Bikhchandani
language : en
Publisher:
Release Date : 2000
Herd Behavior In Financial Markets written by Sushil Bikhchandani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Capital market categories.
The Internationalization Of Capital Markets
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Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
language : en
Publisher:
Release Date : 1986
The Internationalization Of Capital Markets written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Capital market categories.
Efficiency And Anomalies In Stock Markets
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Author : Wing-Keung Wong
language : en
Publisher: Mdpi AG
Release Date : 2022-02-17
Efficiency And Anomalies In Stock Markets written by Wing-Keung Wong and has been published by Mdpi AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-17 with Business & Economics categories.
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics
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Author : Seungho Jung
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics written by Seungho Jung 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 2021-10-22 with Business & Economics categories.
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Financial Market History Reflections On The Past For Investors Today
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Author : David Chambers
language : en
Publisher: CFA Institute Research Foundation
Release Date :
Financial Market History Reflections On The Past For Investors Today written by David Chambers and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on with Business & Economics categories.
Since the 2008 financial crisis, a resurgence of interest in economic and financial history has occurred among investment professionals. This book discusses some of the lessons drawn from the past that may help practitioners when thinking about their portfolios. The book’s editors, David Chambers and Elroy Dimson, are the academic leaders of the Newton Centre for Endowment Asset Management at the University of Cambridge in the United Kingdom.
