Download or read book Modelling Return and Volatility in Emerging Stock Markets written by Dimitris Kenourgios and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies stock market time varying performance in a Markov environment between four emerging Balkan stock markets, namely, Turkey, Romania Croatia and Bulgaria, and two developed markets, the U.S. and Greece. We employ: a) an exogenous Markov regime-switching methodology where the time variation of returns is modeled to capture short term dynamics; b) a Markov switching vector autoregression methodology to model jumps in volatility regimes. Our findings provide evidence on time varying return dependence and volatility regime linkages between Balkan and developed stock markets.
Download or read book Modelling and Forecasting the Volatility of Thin Emerging Stock Markets written by Plamen Patev and published by . This book was released on 2004 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory associates the stock market risk with volatility of the return. Volatility is measured by the variance of return but the investment community does not accepted this measure, since it weighs equally the deviations of the average return, while most investors determine the risk on the basis of small or negative returns. In the last few years the measure Value at Risk (VaR) has established itself in the practice. The issue about modelling and forecasting thin emerging stock markets risk is still open. The subject of the paper is the risk of the Bulgarian stock market. The aim of the paper is to give the investment community a model for assessment and forecasting of the Bulgarian stock market risk. The results of the research show that the SOFIX index has basic characteristics of most of the emerging stock markets, namely: high risk, significant autocorrelation, non-normality, volatility clustering. Three models have applied - RiskMetrics, EWMA with t distributed innovations and EWMA with GED distributed innovations. The EWMA with t distributed innovations and EWMA with GED distributed innovations adequately evaluate the risk of the Bulgarian stock market.
Download or read book Modelling Return and Volatility Exposures in Global Stock Markets written by Robert W. Faff and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It extends the results found in the quot;volatility spilloverquot; literature by providing evidence that conditional stock market return volatilities have a contemporaneous and systematic exposure to global return volatilities. Whereas all the countries included in the study exhibited significant and positive systematic exposures to global volatility, emerging market volatility exposures were considerably higher than developed market exposures.
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-12-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
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 Portfolio Investment Flows to Emerging Markets written by Sudarshan Gooptu and published by World Bank Publications. This book was released on 1993 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility in Emerging Stock Markets Revisited written by Michel Dubois and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the issue of detecting permanent shifts in the volatility of emerging stock market indexes returns. We show that standard tests have no power in disentangling conditional heteroscedasticity versus jumps in the variance of stock returns. We propose two methods to detect jumps in the variance when there is conditional heteroscedasticity. The first one is based on the properties of temporal aggregation of GARCH (1, 1) models. The second one consists in filtering the stock returns series with a GARCH (1, 1) model in conjunction with the ICSS algorithm. We show that jumps in variance are less frequent than previously believed. Moreover, the jumps are country specific so that they can be diversified.
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Download or read book Volatility Modeling and Forecasting for NIFTY Stock Returns written by Gurmeet Singh and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and forecast the NIFTY stock returns for short term by using daily data ranging from January, 2000, to December, 2014, which comprises 3736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. ADF test and unit root testing is done to know the stationarity of the series, later the AR(p) and MA(q) orders are identified with the help of minimum information criterion as suggested by Hannan-Rissanen. As per the analysis, ARIMA (1,0,1) model was found to be the best fit to forecast the volatility of NIFTY stock returns. The model can be used by the investors to forecast the short run NIFTY stock returns and for making more profitable and less risky investments decision.
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 Modeling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets written by Yanan Li and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Emerging Stock Markets written by Christopher Barry and published by Wiley. This book was released on 2000-04-14 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Stock Markets: Risk, Return, and Performance is a compendium of historical data currently available about the performance of securities in emerging markets. As a result, it will be an invaluable aid to the investor or investment manager trying to make informed decisions about investing in emerging market assets. The authors provide monthly stock return data for more than two dozen countries in the Emerging Markets Data Base maintained by the International Finance Corporation. Without such data, analysis of this fascinating asset class has been frustrated.
Download or read book Opening Up of Stock Markets by Emerging Economies written by Ŭng-han Kim and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling Stock Market Volatility in Emerging Markets written by Bhaskkar Sinha and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study models the volatility present in the inter day returns in the stock of the two major national indices of India. Sensitive Index or Sensex related to Bombay Stock Exchange (BSE) and Nifty associated with National Stock Exchange (NSE). The objective is to model the phenomena of volatility clustering and persistence of shock using asymmetric GARCH family of models. Research showed that EGARCH model successfully models the Sensex (BSE) data whereas it is GJR-GARCH which was able to explain conditional variance in the returns from Nifty (NSE).
Download or read book Emerging Equity Market Volatility written by Geert Bekaert and published by . This book was released on 1995 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital market reform. We shed indirect light on the question of capital market integration by exploring the changing influence of world factors on the volatility in emerging markets. Finally, we investigate the cross-section of volatility. We use measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of individual securities within each country, turnover, foreign exchange variability and national credit ratings to characterize why volatility is different across emerging markets.
