Download or read book Common Volatility in International Equity Markets written by Robert F. Engle and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Switching Volatility in International Equity Markets written by Raul Susmel and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze the behavior of time-varying volatility, when structural changes are allowed in international stock markets. We use a recent model developed by Hamilton and Susmel (1994), the SWARCH model, which is a more general specification than the popular ARCH model. We fit an exponential SWARCH (E-SWARCH) model to eight series of weekly returns from international stock markets. Under the SWARCH model, we find that ARCH and asymmetric effects are significantly reduced. We also find, however, that when compared to a standard GARCH-t model, the benefits of a SWARCH model are marginal. Using the ability of the Hamilton (1989) filter to date states, we use the switching model to date volatility states. We compare these states and conclude that with the exception of Japan and the U.K., and the U.S. and Canada, the domestic volatility states tend to be independent of foreign volatility states. For these two pairs, we find evidence for common volatility states.

Download or read book The Role of Foreign News and Common Volatility in International Stocks Markets written by Raul Susmel and published by . This book was released on 1991 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Common Short term Volatility on International Stock Markets written by Johan Knif and published by . This book was released on 1998 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

Download or read book Volatility Spillovers in International Equity Markets written by E. Bryan Acree and published by . This book was released on 1996 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Spillovers and Geographical Hierarchy Across International Equity Markets written by Giulio Cifarelli and published by . This book was released on 1999 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Correlation Structure of International Equity Markets During Extremely Volatile Periods written by François Longin and published by . This book was released on 1998 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Spillovers and Long run Relationships Between International Equity Markets Through ADRs written by 謝碧媛 and published by . This book was released on 2006 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hourly Volatility Spillovers Between International Equity Markets written by Raul Susmel and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Study of Volatility Components in the International Equity Market written by Jian Dong and published by . This book was released on 2001 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Mutual Funds Capital Flow Volatility and Contagion A Survey written by Mr.R. Gelos and published by International Monetary Fund. This book was released on 2011-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of portfolio flows and the mechanisms behind the transmission of financial shocks across countries. This paper provides a brief survey of this literature, with a focus on the empirical evidence for emerging markets. Overall, the behavior of international mutual funds is complex and overly simplistic characterizations are misleading. However, there is broad-based evidence for momentum trading among funds. Moreover, funds tend to avoid opaque markets and assets, and this behavior becomes more pronounced during volatile times. Portfolio rebalancing mechanisms are clearly important in explaining contagion patterns, even in the absence of common macroeconomic fundamentals. From a surveillance point of view, this implies that monitoring the exposures of large investors at a micro level is crucial to assess vulnerabilities.

Download or read book Volatility in International Stock Markets An Empirical Study written by Shalu Lu and published by Shalu. This book was released on 2022-11-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business investment is concerned with the provision of funds for investment in business enterprise, an investor must offer whatever is invested in this way, and this means that the investor must sacrifice consumption and save to offer the funds. Savers and the users of their funds come jointly in the market for investment, where the normal rules of supply and demand apply unless there is government interfering with interest rates. The cost of money is the rate of interest rewarded for the use. If the demand for investment funds is greater than the funds offered for investment by savers, then the rate of interest will increase until people in the market are induced to sacrifice consumption and make their reserves available for investment.

Download or read book Correlation and Volatility Asymmetries in International Equity Markets written by CFA O'Toole (Randy) and published by . This book was released on 2013 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The co-movement of international equity markets in different return environments is examined using estimates of realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown to be similarly elevated in periods characterized by extreme returns in both up and down markets, which contradicts a body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is much greater in down markets than in up markets. This suggests that it is not a lack of diversification that matters for comparative performance in bear markets, but rather the relative magnitude of negative returns typically experienced during such periods.

Download or read book Extreme Correlation of International Equity Markets written by François M. Longin and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book What Drives International Equity Correlations written by Khaled Amira and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Managing International Equity Risk Factors written by Klaus Grobys and published by . This book was released on 2018 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk factors in Europe and Asia, whereas in Japan we find no such evidence. Confirming earlier studies, we find that a risk-based story is unlikely to explain our results.