Download or read book Volatility written by Robert A. Schwartz and published by Springer. This book was released on 2012-12-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.

Download or read book The Effect of Uncertainty and Volatility on Financial Markets written by Maria Elisa Farias and published by . This book was released on 2016-12-03 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Market Volatility and the Implications for Market Regulation written by Louis O. Scott and published by International Monetary Fund. This book was released on 1990-11 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.

Download or read book Essays on Risk and Uncertainty in Economics and Finance written by Jorge Mario Uribe Gil and published by Ed. Universidad de Cantabria. This book was released on 2022-11-22 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.

Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.

Download or read book Market Volatility Amidst Political Conflict and Uncertainty written by Deborah B. Beyer and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades, rising economic policy uncertainty coupled with increasing levels of political polarization have impacted financial markets and by extension, investors in those markets. Literature has mainly focused its attention on one of these factors or the other, while few studies to date have examined their joint effects on stock market volatility. Yet politics and the economy are profoundly intertwined; they must be considered in tandem. Through a two-essay format, the objectives of this dissertation are to investigate the combined impact of economic policy uncertainty and partisan conflict on stock market volatility and further, to study the impact of partisan conflict in particular on politically sensitive industry volatility. Findings from Essay 1 provide evidence that economic policy uncertainty increases volatility, whereas partisan conflict reduces it. A deeper examination reveals that partisan conflict’s dampening effect exists only during periods of political gridlock. Essay 2 results show that partisan conflict also reduces industry-level volatility. Moreover, partisan conflict has a greater impact on reducing high politically sensitive industry volatility compared to industries with low political sensitivity. Results from both studies are meant to inform government policymakers, analysts, and investors of the effects these politically-related forces have on equity market volatility.

Download or read book Financial Markets with Volatility Uncertainty written by Jörg Vorbrink and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Volatility In Financial Markets During The Covid 19 Pandemic written by Niklas Humann and published by GRIN Verlag. This book was released on 2022-04-28 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2022 in the subject Business economics - Market research, grade: 1.3, University of Münster, language: English, abstract: The objective of this essay is to investigate the effects of Covid-19 on the volatility of individual asset markets as well as the correlation between those markets using the Dynamic Conditional Correlation GARCH methodology developed by Engle (2002). The investigated assets are the major world equity indices as well as oil, gold, and bitcoin. I have found significant volatility clustering over the entire spectrum of assets, as well as increases in the correlation between assets during the initial phase of the pandemic. Furthermore, gold and bitcoin are shown to exhibit relatively low correlations with the investigated equity markets and may hence act as important components of a robust portfolio during turbulent times. While no direct effect of Covid-19 related policy variables on the returns could be established for all assets, the results indicate that the response of financial markets was immediate and not dependent on the national exposure to the pandemic itself. Finally, all markets are shown to recover within a reasonably short time span.

Download or read book Uncertain Volatility Models written by Robert Buff and published by Springer Science & Business Media. This book was released on 2002-04-10 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.

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 Uncertainty and Unemployment written by Sangyup Choi and published by International Monetary Fund. This book was released on 2015-02-23 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a “wait-and-see” mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors.

Download or read book Handbook Of Global Financial Markets Transformations Dependence And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.

Download or read book Crises and Uncertainty in the Economy written by Hachmi BEN AMEUR and published by Springer Nature. This book was released on 2023-01-13 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores how the economic sphere has experienced an ultimate shape after the occurrence of several crises, since 2000s. The subprime crisis has trigged the transition from conventional to unconventional frameworks in most industrialised and emerging economies. This book highlights how the sovereign debt crisis has exacerbated the economic environment and raised economic uncertainty. This book asserts that markets integration have boosted contagion and risk spillovers among financial markets. Moreover, the Brexit and US-China trade tension has intensified uncertainty and the economic challenges. This book examines in recent times how humanity has experienced the most dramatic health crisis and their economic effects. This pandemic lockdowns several countries and caused an economic and financial collapse. This book expands on these crises, with different origins and mechanisms, have shaped the economic systems in several ways: monetary policy, macroeconomic imbalance, economic growth, economic integration, financial risk, volatility and trade effects. The main aims of this book cover the topical issues related to crises and uncertainty and the economic consequences. This book is drawn from academics and practitioners presenting high-quality original research papers, presented in the Financial and Economic Meeting conference 2021.

Download or read book A Portfolio Based Measure of Economic Uncertainty written by Bao Huy Doan and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial uncertainty and macroeconomic uncertainty are commonly proxied separately by the volatility of stock returns or key macroeconomic variables, respectively. We propose a portfolio-based measure (PBMEU) that aims to capture aggregate uncertainty in both financial markets and the macroeconomy. Our measure focuses on the volatility of a broad market portfolio including stocks, bonds, and commodities, where correlations between these individual markets have significant implications for the consequences of shocks to economy. When there are significant and persistent economy-wide shocks, the PBMEU produces higher level of uncertainty than the sum of financial and macroeconomic uncertainties, and in turn yields more significantly negative effects on macroeconomy. This asymmetric effect cannot be ascertained by the commonly used proxies such as VIX, aggregate uncertainty of Jurado et al. (2015) and economic policy uncertainty of Baker, et al. (2015).

Download or read book Options for Volatile Markets written by Richard Lehman and published by John Wiley & Sons. This book was released on 2011-08-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.

Download or read book Effect of Economic Policy Uncertainty on Stock Market Return and Volatility Under Heterogeneous Market Characteristics written by Srikanta Kundu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 166 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.