Author: Pradeep K Mavuluri Publisher: ISBN: Category : Languages : en Pages : 10
Book Description
Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this relationship (see Karpoff (1987) and Board et al (1990) for a number of reasons why price-volume affiliation is positive). However, the recent literature provides evidence of revisiting the volume-volatility relationship as volatility and transaction counts relationship. So far no study examines the role of transactions frequency over and above volume in explaining the volatility; hence, the present study attempts to uncover the relevance of transaction counts for Indian stock market. Specifically, the study considers component stocks of Indian barometer indices, NSE Nifty and Nifty Junior, for the period 2005. In addition, study measures volatility by five minute intra day volatility apart from traditional absolute and squared price changes. Volume is measured as average trade size. The basic hypotheses that the number of transactions drives the volatility rather than the volume has been examined by the cross-sectional averages of Nifty amp; Nifty Junior stocks after running time series regressions.
Author: Hanfeng Wang Publisher: ISBN: Category : Languages : en Pages : 39
Book Description
We find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. And this pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetry when the stock price moves up and when the stock price moves down, and we attribute this asymmetry to the short-selling constraints.
Author: Cheng-Few Lee Publisher: Springer Science & Business Media ISBN: 0387771174 Category : Business & Economics Languages : en Pages : 1700
Book Description
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Author: Justin Balthrop Publisher: ISBN: Category : Languages : en Pages : 71
Book Description
This paper tests whether margin requirements cause asset price volatility. Using novel data on margin requirements and by exploiting exogenous variation from a threshold-based regression discontinuity design, I document that increasing margin causes a persistent decrease in future volatility (negative level effect) and a decline in trading volume. For an average 13.7% increase in margin requirement, I find an average 3.7% decrease in volatility. These results contrast with prior empirical studies that largely find no relationship between volatility and margin and provide support for the efficacy of financial market policies that seek to curb excess market volatility.
Author: Vanessa Le Leslé Publisher: International Monetary Fund ISBN: 1475502656 Category : Business & Economics Languages : en Pages : 50
Book Description
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Author: Andrea Pizarro Pedraza Publisher: Walter de Gruyter GmbH & Co KG ISBN: 3110582759 Category : Language Arts & Disciplines Languages : en Pages : 346
Book Description
Linguistic taboo has been relegated for a long time to a peripheral position within Linguistics, due to its social stigmatization and inherent linguistic complexity. Recently, though, there has been a renewed interest in revisiting the phenomenon, especially from cognitive frameworks. This volume is the first collection of papers dealing with linguistic taboo from that perspective. The volume gathers 15 chapters, which provide novel insights into a broad range of taboo phenomena (euphemism, dysphemism, swearing, political correctness, coprolalia, etc.) from the fields of sexuality, diseases, death, war, ageing or religion. With a special focus on lexical semantics, the authors in the volume work within Cognitive Linguistics frameworks such as conceptual metaphor and metonymy, cultural conceptualization or cognitive sociolinguistics, but also at the interface of pragmatics, discourse analysis, applied linguistics, cognitive science or psychiatry. This volume provides theoretical reflections and case studies based on new methods and data from varied languages (English, Spanish, Polish, Dutch, Persian, Gikũyũ and Egyptian Arabic). As such, it moves towards a new generation of linguistic taboo studies.
Author: Franziska König Publisher: Springer Science & Business Media ISBN: 3834994499 Category : Business & Economics Languages : en Pages : 358
Book Description
Franziska König examines the anatomy of uncertainty-governance choice relationships from different theoretical angles, including transaction costs economics, resource-based theory, and real options theory. The book provides, furthermore, comprehensive empirical insights both from secondary data examined with a “vote-counting” analysis as well as from primary data, collected through a “policy-capturing” study.
Author: Carsten Wehn Publisher: Academic Press ISBN: 0124158757 Category : Business & Economics Languages : en Pages : 658
Book Description
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
Author: Mohammed El Hedi Arouri Publisher: Academic Press ISBN: 0124115632 Category : Business & Economics Languages : en Pages : 927
Book Description
Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
Author: Timothy Hellwig Publisher: Oxford University Press ISBN: 0192871668 Category : Political Science Languages : en Pages : 417
Book Description
What drives government popularity? For decades, scholars, journalists, and political pundits alike have converged on a single answer: the economy. A rising economy lifts the popularity of the government, and if the economy's fortunes turn south, so too does that of the government. This conventional wisdom informs politicians' decisions as well as the scholarly commentary on parties and elections. Yet the conditions that underlie this model have changed in manycountries as globalization has shifted control away from national policymakers, as non-economic cultural issues have risen in importance, and as our politics have become more polarized. At the same time, since the Great Recession in 2008 persistent economic volatility has kept the economy on the agenda.What, then, fuels government popularity in our current volatile environment? Are political fortunes tied to economic stability, as in the past? Or has the economy-popularity link-the popularity function-been severed by a host of new and less predictable factors in post-industrial societies?To answer these questions, Economics and Politics Revisited uses data from the Executive Approval Project (EAP), a cross-nationally comparable data on leader popularity, to model the fundamental dynamics of government support in advanced industrial democracies. Eleven country-specific chapters, each written by experts in the politics of the country, examine the role of economic performance in generating leader support in each country. In all cases, chapter authors show that theeconomy matters for popularity. However, the economy-popularity link is stronger in some countries than others. Further, chapters leverage EAP series to highlight change over time. Pooled analyses extend these findings, highlighting how the public's responses to the economy are reduced when political campaignsshift to non-economic issues and when parties are polarization on non-economic issues. Collectively, the volume highlights how evolving issue agendas are changing the nature of political accountability in advanced industrialized democracies. While the economy remains important, the book calls on students of political accountability to give greater attention to the role of non-economic issues.Comparative Politics is a series for researchers, teachers, and students of political science that deals with contemporary government and politics. Global in scope, books in the series are characterized by a stress on comparative analysis and strong methodological rigour. The series is published in association with the European Consortium for Political Research. For more information visit: www.ecprnet.eu .The series is edited by Nicole Bolleyer, Chair of Comparative Political Science, Geschwister Scholl Institut, LMU Munich and Jonathan Slapin, Professor of Political Institutions and European Politics, Department of Political Science, University of Zurich.
Author: Pradeep K Mavuluri
Author: Hanfeng Wang
Author: Cheng-Few Lee
Author: Justin Balthrop
Author: Vanessa Le Leslé
Author: Andrea Pizarro Pedraza
Author: Franziska König
Author: Carsten Wehn
Author: Mohammed El Hedi Arouri
Author: Timothy Hellwig