Download or read book Modelling Australian Stock Market Volatility written by Indika Karunanayake and published by . This book was released on 2009 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Australian Stock Market Volatility written by Tim Brailsford and published by . This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling the Intraday Return of Volatility Process in the Australian Equity Market written by Andrew Worthington and published by . This book was released on 2003 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The data set employed consists of five-minute returns, trading volumes at bid-ask spreads over the period 31 December 2002 to 4 March 2003 for the fifty national and multinational stocks comprising the S&P/ASX 50 index." --p. 1.

Download or read book Excess Volatility and the Short Run Modelling of Australian Stock Prices written by David E. Allen and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Spillover Between the Chinese and Australian Stock Markets written by Wei Chi and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This paper finds that the volatility spillover across these two markets is bidirectional while there is single or insignificant spillover across industries between these two countries. More specifically, the results of the Granger causality test show that the stock market volatility spillover is bidirectional between these two markets in the financial, health care, industrials, information technology, and materials industries. One-way volatility spillover exists in the consumer staples industry and there is insignificant volatility spillover in the energy, telecommunications, and utilities industries between the Chinese and Australian stock markets.

Download or read book Covid 19 Infections and the Performance of the Stock Market written by Markus Brueckner and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Stochastic Modelling of Volatility and Inter relationships in the Australian Electricity Markets written by Joanna (Jia Jia) Wang and published by . This book was released on 2020 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: To model the price and price volatilities of the Australian wholesale spot electricity markets, the univariate generalised autoregressive conditional heteroskedasticity (GARCH) models have been applied and the inter-relationships in these markets are modelled using multivariate GARCH models. Stochastic volatility (SV) models, as flexible alternatives to GARCH models, have demonstrated their superiority in many financial applications. However, the use of SV models in the modelling of electricity markets is still quite limited. This paper investigates existing multivariate SV models and proposes new SV models with skew error distributions, to model the price and price volatilities of three pairs of markets, selected from four regional electricity markets in Australia, which are shown to be highly correlated in a previous study (Higgs, 2009). Bayesian approach using Markov chain Monte Carlo (MCMC) method is adopted and model implementation is done using the software OpenBUGS. Empirical results show that the price and volatilities of selected markets are strongly correlated across different pairs of regional markets. Based on Deviance Information Criterion, the models with skew error distributions perform better than those with symmetric distribution.

Download or read book Modelling Order Flow Price Impact and Market Resiliency in the Australian Stock Market written by Kevin Ping-Yue Lo and published by . This book was released on 2006 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Information Content of Implied Volatility written by Bart Frijns and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop and evaluate the information content of an implied volatility index for the Australian stock market. Using price data on Samp;P/ASX 200 index options and SFE SPI 200 index futures options, we develop implied volatility indices with a time to maturity of three months and one month, respectively. When evaluating the information content of both implied volatility indices we find that the implied volatility index based on the Samp;P/ASX 200 index options with a three-month horizon is most informative in terms of explaining stock market returns and forecasting future volatility. For this implied volatility index we find a significant negative and asymmetric relationship between changes in implied volatility and Samp;P/ASX 200 returns, i.e., stock market prices decline more when implied volatility increases than they increase when implied volatility drops. When evaluating the forecasting power of implied volatility for future market volatility we find that the implied volatility index based on the Samp;P/ASX 200 index options contains important information both insample and out-of-sample. In-sample, the implied volatility index significantly improves the fit of a GJR-GARCH(1, 1) model. Out-of-sample, we find that the implied volatility index significantly outperforms the RiskMetrics and GJR-GARCH(1, 1) model, with its highest forecasting power at the one-month forecasting horizon.

Download or read book Intraday Volatility Forecast in Australian Equity Market written by Abhay Kumar Singh and published by . This book was released on 2013 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: On the afternoon of May 6, 2010 Dow Jones Industrial Average (DJIA) plunged about 1000 points (about 9%) in a matter of minutes before rebounding almost as quickly. This was the biggest one day point decline on an intraday basis in the DJIA's history. An almost similar dramatic change in intraday volatility was observed on April 4, 2000 when DJIA dropped by 4.8%. These historical events present very compelling argument for the need of robust econometrics models which can forecast intraday asset volatility. There are numerous models available in the finance literature to model financial asset volatility. Various Autoregressive Conditional Heteroskedastic (ARCH) time series models are widely used for modelling daily (end of day) volatility of the financial assets. The family of basic GARCH models work well for modelling daily volatility but they are proven to be not as efficient for intraday volatility. The last two decades has seen some research augmenting the GARCH family of models to forecast intraday volatility, the Multiplicative Component GARCH (MCGARCH) model of Engle & Sokalska (2012) is the most recent of them. MCGARCH models the conditional variance as the multiplicative product of daily, diurnal, and stochastic intraday volatility of the financial asset. In this paper we use MCGARCH model to forecast intraday volatility of Australia's S&P/ASX-50 stock market, we also use the model to forecast the intraday Value at Risk. As the model requires a daily volatility component, we test a GARCH based estimate and a Realized Variance based estimate of daily volatility component.

Download or read book Do Index Futures Cause Spot Market Volatility An Investigation of the Australian Resources Index written by Neha Deo and published by . This book was released on 2017 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies GARCH models to ascertain the impact of index futures trading on the volatility of the spot market. Specifically, the research aims to determine whether the introduction of index futures trading increases or decreases the level of volatility within the underlying spot market. In addition, the research verifies the sensitivity of price to information as well as the impact the leverage effect may have on the degree and structure of volatility. As Australia is a commodity driven economy, resources constitute one of the largest economic sectors. Following from this, the daily closing price of the ASX 200 Resources Index for the period 2010 to 2016 was therefore used in the analysis. Given that 14 October 2013 was when the Australian Securities Exchange launched the ASX 200 Resources Index futures, investigating the volatility prior to and after this date is also a focus of the paper. The results of the study suggest that the introduction of index futures did not substantially increase the level of volatility in the spot market but found that there is an increase in sensitivity to historical information; and that a negative leverage effect exists within the Resources Index. Since the Australian share market operates within a dynamic financial landscape, the study adopts a framework that seeks to provide behavioural and macroeconomic explanations for the findings, where appropriate.

Download or read book Modelling Asset Dynamics Via an Empirical Investigation of Australian Stock Exchange Data written by William Karel Bertram and published by . This book was released on 2005 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Australian Stock Market Volatility 1875 1987 written by Phillip Kearns and published by . This book was released on 1990 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Behaviour of Australian Stock Market Volatility written by Tim Brallsford and published by . This book was released on 1992 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Pricing of Idiosyncratic Volatility written by Bin Liu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the importance of idiosyncratic volatility in asset pricing for Australian stock returns from January 2002 to December 2010. Inspired by work from the early 1990s which found that portfolios constructed to mimic common risk factors explained significant variations in US stock returns, we construct an idiosyncratic volatility mimicking factor to explore the explanatory power of this factor in the Australian stock market. Our results indicate that (a) the idiosyncratic volatility mimicking factor is priced and positively related to the stock returns for the sample period, (b) the explanatory power of the idiosyncratic volatility mimicking factor remains robust in both time-series and cross-sectional analysis, and (c) big size stocks are systematically riskier than small size stocks.