Download or read book Some Relations Between Volatility and Serial Correlations in Stock Market Returns written by Blake Dean LeBaron and published by . This book was released on 1990 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Causal Relationship Between Stock Returns and Volume written by Rochelle L. Antoniewicz and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Volume and Serial Correlation in Stock Return written by John Y. Campbell and published by . This book was released on 1992 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Volume and Serial Correlation in Stock Returns written by John Y. Campbell and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse quot;market makersquot; accommodate buying or selling pressure from quot;liquidityquot; or quot;non-informationalquot; traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Download or read book Evaluating correlation Breakdowns During Periods of Market Volatility written by Mico Loretan and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such changes in correlations could reflect changes in the underlying distribution of returns or quot;contagionquot; across markets that is present only during periods of market turbulence. However, as noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making.
Download or read book A Study On Volatility And Co Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relationship between Stock Returns and Volatility in International Stock Markets written by Qi Li and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relationship between expected stock returns and volatility in the twelve largest international stock markets during January 1980 - December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in six out of the twelve markets under study. The results lend support to the recent claim (Bekaert and Wu, 2000; Whitelaw, 2000) that stock market returns are negatively correlated with stock market volatility.
Download or read book The Dynamic Relation between Stock Returns Trading Volume and Volatility written by Gong-meng Chen and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from 1973 to 2000. The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns. Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets.
Download or read book Another Look at the Relationship between Cross Market Correlation and Volatility written by Söhnke M. Bartram and published by . This book was released on 2019 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: While increases in cross-market correlations during periods of market crises are well documented, Forbes and Rigobon (2002) show that correlation coefficients are biased measures of dependence when markets become more volatile, and that there is no evidence of contagion in recent financial crises once corrected for these effects. This paper explores the impact of volatility on market dependence more broadly, both analytically and empirically using simulated time-series of financial asset returns that follow alternative stochastic processes commonly used in financial research. The results show that market dependence is not generally conditional on volatility regimes and that a bias in dependence measures occurs only for particular assumptions about the time-series dynamics. Since real world data may often not be characterized by homoskedasticity, a correction of estimated unconditional correlations during market crises may not always be needed. Consequently, the results provide evidence that contagion indeed exists as a real phenomenon during financial crises, reducing the benefits of portfolio diversification when needed most. In contrast, if the return data generating process is invariant but displays conditional heteroskedasticity, a conditioning bias exists that cannot be distinguished from a fundamental change in market dependence.
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Download or read book Volatility and Time Series Econometrics written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Download or read book The Persistence of Volatility and Stock Market Fluctuations written by James M. Poterba and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected required rates of return for relatively short intervals. These findings lead us to be skeptical of recent claims that the stock market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia.
Download or read book On the Relationship Between the Conditional Mean and Volatility of Stock Returns written by Michael W. Brandt and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads to pronounced counter-cyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the conditional moments that also appear related to business cycles. Finally, we show that although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to the lead-lag correlations.
Download or read book Asset Price Dynamics Volatility and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Download or read book The Relation between Return and Volatility in the Commodity Markets written by Daniel Giamouridis and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between stock market returns and volatilities has been extensively investigated in the academic literature. In this paper the relationship between Commodity Returns and volatility is investigated for the first time. We shared the feeling that the relationship between return and volatility in the commodity markets is the inverse of that observed in the stock markets. If that hypothesis proves to be true and if commodity markets returns are negatively correlated with the returns of traditional financial assets, the introduction of commodities in investment portfolios would result in the diversification of the volatility exposure. This will allow Fund Managers to hedge investment portfolios with commodities, thus avoiding the use of more complicated instruments, such as options. We carry out the exploratory tests of Black [1976], to test the hypothesis with the unconditional variance, as well as the tests of Nelson [1991], Zakoian [1990] and Glosten, Jagannathan, and Runkle [1993], to test the hypothesis on the conditional variance. The estimation of the models yields statistically significant asymmetric terms only for the conditional variance and the initial hypothesis that the conditional variance responds asymmetrically to past information is not rejected.
Download or read book On the Relationship Between the Conditional and Volatility of Stock Returns written by Michael W. Brandt (Ph.D.) and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
