Download or read book Interest Rate Uncertainty and Stock Market Volatility written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The reason for volatility changing over time is still open. As stated in the extant papers uncertainty of Macroeconomic variable plays more important role in explaining the time varying of volatility than the volatility of Macroeconomic variable itself. In this paper we illustrate this with exploring the relationship between stock market volatility and the Interest Uncertainty. In the paper, we take the uncertainty of the decision of FOMC meeting as the uncertainty of interest rate. As we know, asset price is a tool for people to express their belief about the state of the economy, when uncertainty is high, a slight change in the belief will cause substantial shift in their holdings. Thus we expect that stock market volatility is increasing with uncertainty of interest rate. By using the Federal Fund Future to measure the uncertainty, we find the significance of impact of uncertainty on volatility is different across industries. In addition, the relationship between interest uncertainty and stock volatility is stronger for small firms than that for big firms. In addition, we investigate the possible reason for the sensitivity of interest rate uncertainty, the empirical results confirm that dividend yield is the factor that impacted most, comparing to the leverage ratio which represent the capital structure is not an important factor.
Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Download or read book Using Implied Volatility to Measure Uncertainty About Interest Rates written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cf.: http://dx.doi.org/10.3886/ICPSR01316.v1.
Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Economic Information and Market Volatility Expectations written by Ruthann Kimberly Melbourne and published by . This book was released on 2000 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Market Volatility and Inflation Uncertainty written by Jörg Döpke and published by . This book was released on 1999 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rates and Stock Speculation written by Richard Norman Owens and published by . This book was released on 1925 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Does the Clarity of Inflation Reports Affect Volatility in Financial Markets written by Mr.Ales Bulir and published by International Monetary Fund. This book was released on 2014-09-24 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure clarity of reports by the Czech National Bank, the European Central Bank, the Bank of England, and Sveriges Riksbank using the Flesch-Kincaid grade level, a standard readability measure. We find some evidence, mainly for the euro area, of a negative relationship between clarity and market volatility prior to and during the early stage of the global financial crisis. As the crisis unfolded, there is no longer robust evidence of a negative connection. We conclude that reducing noise using clear reports is possible but not without challenges, especially in times of crisis.
Download or read book Stock Market Volatility and Economic Factors written by John J. Binder and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book The Changing International Transmission of Financial Shocks written by Sandra Eickmeier and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the changing international transmission of US financial shocks over the period 1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for nine major advanced countries. The main findings are as follows. First, positive US financial shocks have a considerable positive impact on growth in the nine countries, and vice versa for negative shocks. Second, the transmission to GDP growth in European countries has increased gradually since the 1980s, consistent with financial globalization. A more marked increase is detected in the early 1980s in the US itself, consistent with changes in the conduct of monetary policy. Third, the size of US financial shocks varies strongly over time, with the g̀lobal financial crisis shock' being very large by historical standards and explaining 30 percent of the variation in GDP growth on average over all countries in 2008-2009, compared to a little less than 10 percent over the 1971-2007 period. Finally, large collapses in house prices, exports and TFP are the main drivers of the strong worldwide propagation of US financial shocks during the crisis.
Download or read book Analytical Study on the Impact of Monetary Policy and Stock Market Volatility in India written by Dr. Puja Dua and published by Book Rivers. This book was released on 2023-01-10 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Risk Tolerance A Psychometric Review written by John E. Grable and published by CFA Institute Research Foundation. This book was released on 2017-06-30 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Brokers and Business Cycles written by Jörg Döpke 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 The Price of Fixed Income Market Volatility written by Antonio Mele and published by Springer. This book was released on 2016-01-11 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.
Download or read book Real Exchange Rate Uncertainty and Private Investment in Developing Countries written by Luis Servén and published by World Bank Publications. This book was released on 2002 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Serven examines empirically the link between real exchange rate uncertainty and private investment in developing countries using a large cross country-time series data set. He builds a GARCH-based measure of real exchange rate volatility and finds that it has a strong negative impact on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The impact of uncertainty is not uniform, however. There is some evidence of threshold effects, so that uncertainty only matters when it exceeds some critical level. In addition, the negative impact of real exchange rate uncertainty on investment is significantly larger in economies that are highly open and in those with less developed financial systems.
Download or read book Stock Market Volatility and Corporate Investment written by Zuliu Hu and published by International Monetary Fund. This book was released on 1995-10-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
