Author: Theolitsa DemetriouPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Feedback Trading and Asymmetric Volatility
Author: Theolitsa DemetriouPositive Feedback Trading and Asymmetric Volatility: Evidence from China
Author: Yigang WangPositive Feedback Trading and Asymmetric Volatility: Evidence from Scandinavian Markets
Author: Henri Robert CederPositive Feedback Trading and Asymmetric Volatility: the Case of Six Inditrialized European Markets
Author: Konstantia PetridouPositive Feedback Trading and Asymmetric Volatility in Emerging Capital Markets
Author: Qian WuAn Empirical Research of Positive Feedback Trading and Asymmetric Volatility in G7 Countries
Author: Lingyun YangPositive Feedback Trading and Asymmetric Volatility in Thailand and Japan
Author: Supplak KriangkraiwanichPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices
Author: Sofiane AbouraPublisher:
ISBN:
Category :
Languages : en
Pages : 62
Book Description
Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme daily U.S. equity market movements during the period January 1990 to September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, implied market volatility and volatility of volatility. We then test for extreme asymmetry and the distinct predictions of both hypotheses. Our results document significant extreme asymmetric volatility. This effect is contemporaneous, consistent with both hypotheses, and it is important for large market declines. We further derive aggregate asset pricing implications under extreme volatility feedback. Given our results, asymmetric volatility, which includes the effect of volatility feedback at extreme levels, is shown to play an important role in explaining substantial equity market declines.
The Intensity of High-Frequency Feedback Trading and Its Impact on Market Quality
Author: Die WanPublisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Based on Level-2 transaction data of individual stocks in Chinese market, the paper constructs measures to directly estimate positive feedback trading intensity and its asymmetry in high-frequency intervals, and then investigates the impact of feedback trading on market quality. Heterogeneous positive feedback traders are found in high-frequency trading intervals of individual stocks, and the buying-winners effect is generally more intensive than selling-losers effect. The asymmetric positive feedback traders contribute to high volatility, high return autocorrelations, high variance ratios and low speed of price discovery. The asymmetry is positively related to aggressive trading orders and hence large price impact, while positive feedback trading reduces both liquidity provision and trading cost. Collectively, the high-frequency asymmetric positive feedback trading leads to an active-trading but less efficient market.
Clarifications on the Asymmetric Volatility Effect and Foreign Investors' Destabilizing Influence
Author: Robert BrucknerPublisher:
ISBN:
Category :
Languages : en
Pages : 30
Book Description
In this paper, the relation of asymmetric conditional volatility to market agents' information perception ability is built and positively tested. Liquidity dry-ups during extreme market conditions, that, due to investors' risk aversion, are more pronounced during negative than positive news result in asymmetric volatility. The well known volatility feedback effect assures that the short term effect of liquidity dry-ups troubles a financial market for an extended period. An explanation for the perceived liquidity dry-ups is found in market microstructure theory; adverse information cost. The propositions are then tested using a well documented phenomenon; quot;Home Biasquot;. The positive relation of relative foreign investors' exposure to the German DAX to volatility levels in general and the asymmetry specifically is documented with high statistical significance.The results are far reaching; on the one hand trading mechanism can be better understood. On the other hand, capital flow regulations are illuminated.