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Author: Theuri Chege Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya's fledgling equity market - the Nairobi Securities Exchange. Both the GARCH-in-mean and E-GARCH models yield positive and significant conditional variance parameters. We also find that shocks to equity returns of conditional volatility are highly persistent. Our results also indicate that conditional variance is driven more by the past conditional variance than it is driven by new disturbances. Finally, we find evidence of volatility clustering in the stock markets around major world and domestic economic episodes. Results are consistent with the inference that investors require larger risk premia on equities if they anticipate greater price volatility in future.
Author: Theuri Chege Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya's fledgling equity market - the Nairobi Securities Exchange. Both the GARCH-in-mean and E-GARCH models yield positive and significant conditional variance parameters. We also find that shocks to equity returns of conditional volatility are highly persistent. Our results also indicate that conditional variance is driven more by the past conditional variance than it is driven by new disturbances. Finally, we find evidence of volatility clustering in the stock markets around major world and domestic economic episodes. Results are consistent with the inference that investors require larger risk premia on equities if they anticipate greater price volatility in future.
Author: Duc Binh Benno Nguyen Publisher: ISBN: Category : Languages : en Pages : 66
Book Description
We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the United States and that the degree of memory can be related to firm characteristics, such as market capitalization, book-to-market ratio, prior performance, and price jumps. Long memory volatility is negatively priced in the cross-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of 1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable than stocks with shorter memory. This makes the latter more uncertain, which is compensated for with higher average returns.
Author: Martin Georg Haas Publisher: GRIN Verlag ISBN: 3346474860 Category : Business & Economics Languages : en Pages : 24
Book Description
Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.0, Zeppelin University Friedrichshafen, course: Advanced Financing, language: English, abstract: This paper is concerned with analyzing the basic determinants of option prices. These are the information derived from the underlying stock, namely the mean and the volatility of its returns. Therefore, this paper aims at answering the question, what influence stock return mean and volatility have on the respective option prices. This can be important to option traders trying to identify the stocks for which to trade options, by providing an understanding for the foundations of the option pricing and the information those prices provide. To isolate these basic determinants from the other influences, described above as structural and institutional factors, a simulation study is conducted. Section 2 will provide the theoretical framework and simulation methodology for the study. Section 3 describes the used dataset and section 4 presents and discusses the results of the simulation.
Author: A. R. Pagan Publisher: London : Centre for Decision Sciences and Econometrics, University of Western Ontario ISBN: Category : Econometric models Languages : en Pages : 52
Author: Turan G. Bali Publisher: John Wiley & Sons ISBN: 1118095049 Category : Business & Economics Languages : en Pages : 517
Book Description
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Author: Jie Zhu Publisher: ISBN: Category : Languages : en Pages : 39
Book Description
In this paper a two-component model is suggested to describe the dynamics of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. The model is then implemented to ten Asian-Pacific stock markets. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant price factor in asset returns for all markets, yet the persistent component is not significantly priced for the return generating process.
Author: Robert A. Haugen Publisher: Pearson ISBN: Category : Business & Economics Languages : en Pages : 170
Book Description
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author: Raj S. Dhankar Publisher: Springer ISBN: 813223748X Category : Business & Economics Languages : en Pages : 355
Book Description
This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
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
Author: Theuri Chege
Author: Theuri Chege
Author: Duc Binh Benno Nguyen
Author: Martin Georg Haas
Author: A. R. Pagan
Author: Turan G. Bali
Author: Jie Zhu
Author: Robert A. Haugen
Author: Raj S. Dhankar
Author: Hans R. Stoll
Author: Greg N. Gregoriou