Author: Peter De GoeijPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Do Macroeconomic Announcements Cause Asymmetric Volatility
Author: Peter De GoeijDo Macroeconomic Announcements Cause Asymetric Volatility?
Author: Peter de GoeijPublisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the Samp;P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, some interesting results emerge. Announcement shocks appear to have a strong impact on the (dynamics of) bond and stock market volatility. Our results provide empirical evidence thatasymmetric volatility in the Treasury bond market can be largely explained by these macroeconomic announcement shocks. This suggests that the asymmetric volatility found in government bond markets are likely due to misspecification of the volatility model. After including macroeconomic announcements into the model, the asymmetry disappears. Becausefirm-specific news is the most important source of information in the stock market, the asymmetries in stock volatility do not disappear after incorporating macroeconomic announcements into the volatility model.
Do Macroeconomic Announcements Cause Asymetric Volatility?
Author: Peter De GoeijDiscovering and Disentangling Effects of US Macro-Announcements in European Stock Markets
Author: Tobias R. RühlPublisher:
ISBN: 9783867885744
Category :
Languages : en
Pages : 38
Book Description
Macroeconomic Announcements and Volatility of Treasury Futures
Author: Li LiPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Treasury futures market to the periodically scheduled announcements of prominent U.S. macroeconomic data. Heterogeneous persistence from scheduled news vs. non-scheduled news is revealed. Strong asymmetric effects of scheduled announcements are presented: positive shocks depress volatility on consecutive days, while negative shocks increase volatility. Announcement-day shocks have small persistence, but great impacts on volatility in the short run. Investigation into volume data shows that announcement-day volume has lower persistence than non-announcement-day volume. No statistically significant risk premium manifests on the release dates. Compared with the implied volatility and realized volatility data, we find our model successful in forming both in-sample and out-of-sample multi-step forecasts. Distinctions are made and tested among microstructure theories that differ in predictions of the impact of scheduled macroeconomic news on volatility and volatility persistence. Asymmetric effects between positive and negative shocks from scheduled news call for further exploration of microstructure theory.
Discovering and Disentangling the Effects of US Macro-Announcements for European Stocks
Author: Tobias RühlPublisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
In this study, we analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. While an index-based analysis provides expected outcomes of differing importance of macro-economic announcements, we provide first evidence on stock-specific reactions. The study further contributes by disentangling stock-specific impacts from overall market reactions. A spread analysis reveals that return volatility affects the spread size positively, and that spreads are systematically higher directly after news releases. This is followed by structurally lower spreads, indicating quickly decreasing asymmetric information in the market after announcements. Additionally, spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the importance of the analysis of news events beyond return and volatility analyses.
Handbook of Volatility Models and Their Applications
Author: Luc BauwensPublisher: John Wiley & Sons
ISBN: 1118272056
Category : Business & Economics
Languages : en
Pages : 566
Book Description
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Forecasting in the Presence of Structural Breaks and Model Uncertainty
Author: David E. RapachPublisher: Emerald Group Publishing
ISBN: 044452942X
Category : Business & Economics
Languages : en
Pages : 691
Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
A Behavioral Approach to Asset Pricing
Author: Hersh ShefrinPublisher: Elsevier
ISBN: 0080482244
Category : Business & Economics
Languages : en
Pages : 636
Book Description
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Financial and Macroeconomic Connectedness
Author: Francis X. DieboldPublisher: Oxford University Press
ISBN: 0199338310
Category : Business & Economics
Languages : en
Pages : 285
Book Description
Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.