Download or read book Dispersion and Volatility in Stock Returns written by John Y. Campbell and published by . This book was released on 1998 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.
Download or read book Monthly Stock Returns and Volatility written by John Okey Onoh and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fundamental role of stock market is to provide adequate guarantee to share holders for the existence of market for their second hand securities. Adequate knowledge about the volatility, performance and efficiency of stock returns remains vital and essential information to investors. These will guide not only investment decisions but also planning for economic growth and development. Given that the Nigerian Stock Exchange has existed, its ability to generate confidence is still in doubt given the recent crash witnessed in the market. It means the confidence the exchange is expected to in still in investors is still not commensurable. It was against the forgoing that this study examined the impact on stock market returns of liquidity and volatility in the Nigerian Stock market. The study adopted the ex-post facto research design and data were obtained from monthly reports of the Nigerian Stock Exchange from January, 2009 to December, 2015. The study used the Ordinary least square and ARCH/GARCH to test the hypotheses stated. The result from the hypotheses tested revealed that stock market returns measured by all shares index was positively and significantly impacted by liquidity measured by market capitalization value ratio and turnover ratio of the Nigerian Stock Exchange but was negatively and significantly impacted by volume of transaction ratio. The results also revealed that, there is a significant ARCH/GARCH (volatility) effect on stock market returns of the Nigerian Stock market. The study thus concludes that the Nigerian Stock Exchange should act to in still more confidence on investors. Thus, the study recommends amongst others that strategies need to be designed toward reaping abnormal returns by exploiting information and actions that enhance inefficiency in stock markets thus, firms and individuals should be encouraged to buy or sell securities outside their face values, as a means of encouraging business or economic activities in the economy.
Download or read book A Monthly Effect in Stock Returns written by Robert A. Ariel and published by . This book was released on 1984 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Returns and Volatility written by Ramon P. DeGennaro and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH-in-mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation.After estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak. The results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns.
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 Real Stock Returns written by Prasad V. Bidarkota and published by . This book was released on 1997 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Monthly Effect in Stock Returns written by Ariel A and published by Hardpress Publishing. This book was released on 2013-12 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike some other reproductions of classic texts (1) We have not used OCR(Optical Character Recognition), as this leads to bad quality books with introduced typos. (2) In books where there are images such as portraits, maps, sketches etc We have endeavoured to keep the quality of these images, so they represent accurately the original artefact. Although occasionally there may be certain imperfections with these old texts, we feel they deserve to be made available for future generations to enjoy.
Download or read book Volatility Clustering in Monthly Stock Returns written by Ben Jacobsen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate volatility clustering using a modeling approach based on the temporal aggregation results for generalized autoregressive conditional heteroscedasticity (GARCH) models in Drost and Nijman [Econometrica, 1993]. Our findings highlight that volatility clustering, contrary to widespread belief, is not only present in high-frequency financial data. Monthly data also exhibit significant serial dependence in the second moments. We show that the use of temporal aggregation to estimate low-frequency models reduces parameter uncertainty substantially.
Download or read book Stock Market Structure Volatility and Volume written by Hans R. Stoll and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomic Impact on Stock Market Returns and Volatility written by Antonette Fernando and published by . This book was released on 2018 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between stock market returns and selected macroeconomic variables and examine the impact of macroeconomic uncertainty on stock market volatility in Sri Lankan stock market. Interest rate, inflation, money supply and exchange rate are selected as a set of exogenous variables to represent the macroeconomic factors that influence the stock market, returns and volatility. The sample includes monthly stock market index and macroeconomics data from 1998 to 2016 covering 228 data points. In achieving research objectives, Vector Error Correction Model (VECM) and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models are specified and estimated.The results of Johansen Juselius cointegration test indicate a long run relationship between macroeconomic variables and stock returns. Particularly, the results of cointegration test suggest that there is a significant negative effect of Treasury bill Rate (TBR) and Exchange Rate (EXR) on stock returns while significant positive long run effect of Money Supply (MSI) / Inflation (INF) on stock returns. The Error Correction Term (ECM) in the VECM model indicates only 4.1 percent of the long run shock adjusted in the short run period and supports the argument of weak form of market efficiency in the Colombo Stock Exchange (CSE), Sri Lanka. Further, the results of the EGARCH model evidence the presence of asymmetric volatility in the monthly stock returns which suggest that the bad news in the CSE has larger effect on the volatility of the stock market than the good news. Similarly, the model establishes that interest rate and money supply create macroeconomic risk to the volatility of the stock market returns in Sri Lankan context. Accordingly, this paper, as a whole, conclusively establishes that the stock returns and market volatility are dependent on macroeconomic variables. These findings hold managerial and policy implication at least to the Sri Lankan policy makers, market regulators, investors and market analysts. The test results suggest the information inefficiency in the Colombo stock market. Further, Investors in the market should look at the systematic risks revealed by the money supply and short term interest rates when structuring portfolios and diversification strategies. Policymakers may need to take these macroeconomic variables into account when formulating economic and financial policies.
Download or read book Economic Growth Expected Stock Returns and Volatility written by Rakesh Kumar and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market volatility is a matter of great interest for researchers and policy makers. The present study examines the volatility of daily, weekly and monthly stock returns in view of economic growth rate. It investigates the hypothesis that high economic growth rate tend to stabilize the investment decisions and create certainty among the investors. Under such situations, investors prevent to alter their investment decisions spontaneously with regard to good or bad news. A low growth rate, on the other hand, makes their investment decisions highly volatile. The study examines the Bombay stock exchange listed index BSE 100 data for the period from 1996 through 2007, wherein Indian economy has registered high and low growth rates. It also examines additional aspect of volatility with regards to expected and unexpected variations in stock returns by applying AR(1)-GARCH(1,1) model. The findings report that investors are not sensitive to economic growth rate for short period, but they become largely sensitive with the long investment horizons. The direct observations can be made here, volatility is invariable to economic growth rate in short time period, but investors with long investment horizons are largely affected by economic growth rate. Briefly, high volatility tends to associate with low economic growth rate and low volatility is associated with high economic growth rate.
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Download or read book Irrational Exuberance written by Robert J. Shiller and published by Scribe Publications. This book was released on 2000 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: No Marketing Blurb
Download or read book Stock Returns and Volatility written by Ramon P. DeGennaro and published by . This book was released on 2003 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most empirical work examining the intertemporal mean-variance relationship in stock returns has tended to use relatively simple specifications of the mean and especially of the conditional variance. We augment the information set to include economic variables that other researchers have found to be important and use GARCH-M models to explore the relation between volatility and expected stock returns. We find that the additional variables have little impact on the conditional variance and that any intertemporal relationship between volatility and stock returns is weak or unstable. Our results signal the need for theoretical models of the intertemporal volatility-return relationship, and call for further studies of the determinants of the conditional variance of stock returns.
Download or read book Dispersion and Volatility in Stock Returns written by Martin Lettau and published by . This book was released on 2010 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.
Download or read book Advances in Futures and Options Research written by Phelim P. Boyle and published by JAI Press Incorporated. This book was released on 1999-11-22 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field.
Download or read book On the Relation Between EGARCH Idiosyncratic Volatility and Expected Stock Returns written by Hui Guo and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: A spurious positive relation between EGARCH estimates of expected month t idiosyncratic volatility and month t stock returns arises when the month t return is included in the estimation of model parameters. We illustrate via simulations that this look-ahead bias is problematic for empirically observed degrees of stock return skewness and typical monthly return time series lengths. Moreover, the empirical idiosyncratic-return relation becomes negligible when expected month t idiosyncratic volatility is estimated using returns only upto month t-1.