Author: Bruno H. SolnikPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
International Market Correlation and Volatility
Author: Bruno H. SolnikInternational Market Correlation and Volatility
Author: Bruno H. SolnikPublisher:
ISBN: 9782854185713
Category :
Languages : en
Pages : 12
Book Description
Changes in International Market Correlation and Volatility
Author: Ramon WardakExtreme Correlation of International Equity Markets
Author: Francois M. LonginPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
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.
The Contribution of Exchange Rate Fluctuations to Stock Market Volatility and Cross-Market Correlations
Author: Andrew MunPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This paper develops a direct, explicit model for the contribution of exchange rate fluctuations and examine how and to what extent international stock market volatility and cross-market correlations are influenced by exchange rate fluctuations. Evidence presented in this paper indicates that a higher foreign exchange rate variability contributes mostly to a higher local stock market volatility but to a lower volatility for the US stock market. The extent to which the stock market volatility is influenced by a foreign exchange variability is greater for local markets than for the US market, due to the fact that exchange rate changes are more strongly correlated with the local equity market returns than the US market returns. We also find that a higher exchange rate fluctuation contributes marginally to a lower US/local equity market correlation in most cases. While exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, there was no significant influence on the US/local market correlation.
The link between volatility and correlation in international stock markets
Author: Roberto Moro ViscontiPublisher:
ISBN:
Category :
Languages : it
Pages : 47
Book Description
Empirical Studies on Volatility in International Stock Markets
Author: Eugenie M.J.H. HolPublisher: Springer Science & Business Media
ISBN: 147575129X
Category : Business & Economics
Languages : en
Pages : 168
Book Description
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.
Correlations in Price Changes and Volatility Across International Stock Markets
Author: Yasushi HamaoAnatomy of Global Stock Market Crashes
Author: Gagari ChakrabartiPublisher: Springer Science & Business Media
ISBN: 8132204638
Category : Business & Economics
Languages : en
Pages : 69
Book Description
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.
Evaluating "correlation Breakdowns" During Periods of Market Volatility
Author: Mico LoretanPublisher:
ISBN:
Category : Assets
Languages : en
Pages : 44
Book Description
Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such changes in correlations could reflect changes in the underlying distribution of returns or quot;contagionquot; across markets that is present only during periods of market turbulence. However, as noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making.