Download or read book Essays on Stock Market Volatility written by Alessandro Castaldo and published by . This book was released on 2002 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Stock Market Volatility written by Chengbo Fu and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on stock market volatility. In the first essay, we show that investors will have the information in the idiosyncratic volatility spread when using two different models to estimate idiosyncratic volatility. In a theoretical framework, we show that idiosyncratic volatility spread is related to the change in beta and the new betas from the extra factors between two different factor models. Empirically, we find that idiosyncratic volatility spread predicts the cross section of stock returns. The negative spread-return relation is independent from the relation between idiosyncratic volatility and stock returns. The result is driven by the change in beta component and the new beta component of the spread. The spread-relation is also robust when investors estimate the spread using a conditional model or EGARCH method. In the second essay, the variance of stock returns is decomposed based on a conditional Fama-French three-factor model instead of its unconditional counterpart. Using time-varying alpha and betas in this model, it is evident that four additional risk terms must be considered. They include the variance of alpha, the variance of the interaction between the time-varying component of beta and factors, and two covariance terms. These additional risk terms are components that are included in the idiosyncratic risk estimate using an unconditional model. By investigating the relation between the risk terms and stock returns, we find that only the variance of the time-varying alpha is negatively associated with stock returns. Further tests show that stock returns are not affected by the variance of time-varying beta. These results are consistent with the findings in the literature identifying return predictability from time-varying alpha rather than betas. In the third essay, we employ a two-step estimation method to separate the upside and downside idiosyncratic volatility and examine its relation with future stock returns. We find that idiosyncratic volatility is negatively related to stock returns when the market is up and when it is down. The upside idiosyncratic volatility is not related to stock returns. Our results also suggest that the relation between downside idiosyncratic volatility and future stock returns is negative and significant. It is the downside idiosyncratic volatility that drives the inverse relation between total idiosyncratic volatility and stock returns. The results are consistent with the literature that investor overreact to bad news and underreact to good news.
Download or read book Essays on Stock Market Volatility written by Kiseok Nam and published by . This book was released on 1998 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Market Volatility written by Sangjoon Kim and published by . This book was released on 1994 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Trading Volume Volatility and Information written by Hanfeng Wang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay 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. 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, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t
Download or read book Essays in Long Memory and Stock Market Volatility written by Ming Liu and published by . This book was released on 1996 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Market Volatility written by Li Jiang and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investigates trade activity and quoted liquidity of the component stocks in the TSE 35 Index, and in the Toronto 35 Index Participations; the sources of variation and volatility; and the Canadian stock market crash of 1987.
Download or read book Essays on Financial Market Volatility written by Otis Scott Mixon and published by . This book was released on 1997 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Information Volatility and Crises in Equity Markets written by Shane K. Clark and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Download or read book Three Essays on Stock Market Volatility and Stock Return Predictability written by Shu Yan and published by . This book was released on 2000 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Volatility and Risk in Financial Markets written by Kwanho Kim and published by . This book was released on 1993 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Return and Volatility on World Stock Markets written by Jia Liu and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Macroeconomic Consequences of Stock Market Volatility written by Thomas Michael Mertens and published by . This book was released on 2009 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock prices are very volatile. Their fundamental value as measured by the ex-post realized net present value of dividends fluctuates far less than the stock price itself. A hot debate about the efficiency of stock markets has arisen from this observation. Many researchers attribute at least some of this "excess volatility" we observe in stock prices to inefficient actions of economic agents. This dissertation is about the macroeconomic consequences of excess volatility in stock prices. It demonstrates that this volatility can lead to large reductions in welfare for households and discusses ways for governmental intervention to alleviate adverse effects. The dissertation furthermore shows that large stock market volatility can arise from tiny, in fact arbitrarily small, errors in agents' actions or in their belief formation.
Download or read book Essays on Financial Market Volatility written by Mehmet Sahiner and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Four Essays on the Empirical Properties of Stock Market Volatility written by Philippe Masset and published by . This book was released on 2012 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Investment Fluctuation and Market Volatility written by Chaoqun Lai and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two different groups of objects in macroeconomics and financial economics. In macroeconomics, the aggregate investment fluctuation and its relation to an individual firm's behavior have been extensively studied for the past three decades. Most studies on the interdependence behavior of firms' investment focus on the key issue of separating a firm's reaction to others' behavior from reaction to common shocks. However, few researchers have addressed the issue of isolating this endogenous effect from a statistical and econometrical approach. The first essay starts with a comprehensive review of the investment fluctuation and firms' interdependence behavior, followed by an econometric model of lumpy investments and an analysis of the binary choice behavior of firms' investments. The last part of the first essay investigates the unique characteristics of the Italian economy and discusses the economic policy implications of our research findings. We ask a similar question in the field of financial economics: Where does stock market volatility come from? The literature on the sources of such volatility is abundant. As a result of the availability of high-frequency financial data, attention has been increasingly directed at the modeling of intraday volatility of asset prices and returns. However, no empirical research of intraday volatility analysis has been applied at both a single stock level and industry level in the food industry. The second essay is aimed at filling this gap by modeling and testing intraday volatility of asset prices and returns. It starts with a modified High Frequency Multiplicative Components GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, which breaks daily volatility into three parts: daily volatility, deterministic intraday volatility, and stochastic intraday volatility. Then we apply this econometric model to a single firm as well as the whole food industry using the Trade and Quote Data and Center for Research in Security Prices data. This study finds that there is little connection between the intraday return and overnight return. There exists, however, strong evidence that the food recall announcements have negative impacts on asset returns of the associated publicly traded firms.
