Download or read book Switching Volatility in International Equity Markets written by Raul Susmel and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze the behavior of time-varying volatility, when structural changes are allowed in international stock markets. We use a recent model developed by Hamilton and Susmel (1994), the SWARCH model, which is a more general specification than the popular ARCH model. We fit an exponential SWARCH (E-SWARCH) model to eight series of weekly returns from international stock markets. Under the SWARCH model, we find that ARCH and asymmetric effects are significantly reduced. We also find, however, that when compared to a standard GARCH-t model, the benefits of a SWARCH model are marginal. Using the ability of the Hamilton (1989) filter to date states, we use the switching model to date volatility states. We compare these states and conclude that with the exception of Japan and the U.K., and the U.S. and Canada, the domestic volatility states tend to be independent of foreign volatility states. For these two pairs, we find evidence for common volatility states.
Download or read book Volatility written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2010-11-18 with total page 152 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 Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and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 Sign and Volatility switching ARCH Models written by Fabio Fornari and published by . This book was released on 1995 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Regime Switching GARCH with an Application to International Stock Markets written by Markus Haas and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equity Markets in Transition written by Reto Francioni and published by Springer. This book was released on 2017-01-17 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book underscores the complexity of the equity markets, the challenges they face, and the fact that they are still a work in process. Three interacting forces drive market change: competition, technology change, and regulatory change. The markets have one major objective in particular to achieve: the delivery of accurate price discovery for both traders and the broader market. Are we getting it? Are competition, technology, and regulation acting together to improve market quality, or are they adding to the complexity of the markets and making accurate price discovery harder to achieve? The difficulty of addressing these issues and reaching a consensus regarding public policy is reflected in the diverse opinions expressed in this book. From an institutional perspective, the volume’s contributors highlight the interconnectedness of all aspects of the internal and external environment within which exchange organizations act. Equity Markets in Transition underscores how technological evolution and recent regulatory changes have influenced the business, and how these developments have opened new possibilities for exchange organizations and for equity markets as a whole, including such issues as the impact of equity markets on job creation. The book combines both a theoretical and a practical approach. Part I presents a theoretical overview of the international equity market business, including an overall description of the value chain of stock trading that includes deep dives on every decisive step. Part II contains contributions from various business specialists who have specific practical and academic knowledge of the different steps. Equity Markets in Transition represents a unique combination of theoretical and practical analysis that offers first-hand insights on all relevant interactions and interrelations among the various parts of the exchange business, with an emphasis on facilitating analysis of the status quo and of emerging trends regarding business models, regulation, and the development of the competitor, customer and investor sides.
Download or read book Switching Volatility in Emerging Stock Markets written by Georgios P. Kouretas and published by . This book was released on 2008 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and the degree of correlation across these markets. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crisis while there is a transition to the low volatility regime as they approach the accession to EU in 2004.
Download or read book Common Volatility in International Equity Markets written by Robert F. Engle and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regime Shifts and Volatility Spillovers on International Stock Markets written by John Hassler and published by . This book was released on 1995 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer. This book was released on 2010-11-19 with total page 0 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 Volatility Dependence and Contagion in Emerging Equity Markets written by Sebastian Edwards and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are, in general, short-lived, lasting from two to twelve weeks. We find strong evidence of volatility co-movements across countries, especially among the Mercosur countries.
Download or read book Country and Industry Factors in Stock Returns written by Luis Catão and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Download or read book Volatility in International Stock Markets An Empirical Study written by Shalu Lu and published by Shalu. This book was released on 2022-11-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business investment is concerned with the provision of funds for investment in business enterprise, an investor must offer whatever is invested in this way, and this means that the investor must sacrifice consumption and save to offer the funds. Savers and the users of their funds come jointly in the market for investment, where the normal rules of supply and demand apply unless there is government interfering with interest rates. The cost of money is the rate of interest rewarded for the use. If the demand for investment funds is greater than the funds offered for investment by savers, then the rate of interest will increase until people in the market are induced to sacrifice consumption and make their reserves available for investment.
Download or read book Volatility Spillovers in International Equity Markets written by E. Bryan Acree and published by . This book was released on 1996 with total page 114 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 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.
