Stock Market Volatility and Economic Factors PDF Download

Author: John J. Binder
Publisher:
ISBN:
Category :
Languages : en
Pages : 36

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Book Description
This paper examines the ability of rational economic factors to explain stock market volatility. A simple model of the economy under uncertainty identifies four determinants of stock market volatility: uncertainty about the price level, the riskless rate of interest, the risk premium on equity and the ratio of expected profits to expected revenues in the economy. In initial tests these variables have significant explanatory power and account for over 50 percent of the variation in market volatility from 1929 to 1989. When the regression coefficients are allowed to vary over time using the Spath cluster regression, the four factors explain over 90 percent of the variation in market volatility. The results are useful in explaining the past behavior of stock market volatility and in forecasting future volatility.

Author: Robert J. Shiller
Publisher: MIT Press
ISBN: 9780262691512
Category : Business & Economics
Languages : en
Pages : 486

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Book Description
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.

Author: Xin Huang
Publisher:
ISBN: 9781109936216
Category :
Languages : en
Pages : 185

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Book Description
JEL classification. C1, C2, C5, C51, C52, F3, F4, G1, G14.

Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654

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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: Kevin Daly
Publisher: Routledge
ISBN: 0429852142
Category : Business & Economics
Languages : en
Pages : 145

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Book Description
Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.

Author: Khositkulporn Paramin
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659800658
Category :
Languages : en
Pages : 212

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Book Description
The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence provide an understanding of the dominant factors affecting stock market volatility in Thailand and measure the contagion effects of stock market volatility in Thailand on other South-East Asian stock markets. The study adopted quantitative methods in testing the research hypotheses. The multiple regression and GARCH models have been employed to examine the factors affecting Thailand stock market volatility. Also, the correlation coefficient and Granger causality tests were employed to hypothesis testing for contagion in South-East Asia. The study results indicate that the movements of major stock markets and political uncertainty have direct effects on stock market volatility, while the movements of oil prices have an indirect effect on firm performance. The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market independent.

Author: Lucas Eisenhuth
Publisher: GRIN Verlag
ISBN: 334659047X
Category : Business & Economics
Languages : en
Pages : 35

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Book Description
Seminar paper from the year 2022 in the subject Business economics - Miscellaneous, grade: 1,7, University of Frankfurt (Main) (House of Finance-Endowed Chair of Personal Finance), language: English, abstract: What are the motivating factors for retail investors who seek excessive risk on the stock market and how do they relate to those of gambling? Who are these gamblers on the stock market in terms of socio-economic status and personalities? Are they different to those participating in other gambling markets? Which potential similarities exist between these groups? Do people participate in gambling because they prefer risky investments (sensation seeking) or are they misjudging the odds of winning (misled belief)? To answer these questions the following paper is organized as follows. Section 2 provides the theoretical foundation for the analysis by defining gambling in a traditional sense and providing a framework for identifying gambling on the stock market. Section 3 analyses the motives for traditional gamblers and those on the stock market and links them to certain personality traits as well as socio-economic status. Section 4 briefly sums up the most important findings, compares differences and similarities between the two distinct groups and concludes.

Author: Zuliu Hu
Publisher: International Monetary Fund
ISBN: 1451852584
Category : Business & Economics
Languages : en
Pages : 26

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Book Description
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.

Author: Joshua Aizenman
Publisher: Cambridge University Press
ISBN: 1139446940
Category : Business & Economics
Languages : en
Pages : 615

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Book Description
Economic volatility has come into its own after being treated for decades as a secondary phenomenon in the business cycle literature. This evolution has been driven by the recognition that non-linearities, long buried by the economist's penchant for linearity, magnify the negative effects of volatility on long-run growth and inequality, especially in poor countries. This collection organizes empirical and policy results for economists and development policy practitioners into four parts: basic features, including the impact of volatility on growth and poverty; commodity price volatility; the financial sector's dual role as an absorber and amplifier of shocks; and the management and prevention of macroeconomic crises. The latter section includes a cross-country study, case studies on Argentina and Russia, and lessons from the debt default episodes of the 1980s and 1990s.

Author: John E. Grable
Publisher: CFA Institute Research Foundation
ISBN: 1944960201
Category : Business & Economics
Languages : en
Pages : 27

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Book Description
This content provides financial analysts, investment professionals, and financial planners with a review of how financial risk-tolerance tests can and should be evaluated. It begins by clarifying terms related to risk taking and is followed by a broad overview of two important measurement terms: validity and reliability. It concludes with examples for practice.