Download or read book The Empirical Distribution of Intradaily Stock Return Volatility written by Rong Chen and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the distribution of intradaily volatility of common stock returns of a portfolio (updated annually) of the 250 most actively traded stocks on the NYSE for the sample period 1983-92. Our results suggest that there was a shift in the distribution of return volatility around 1985-86: both the level and dispersion of volatility increased significantly after 1985. We find that the well known 'U'-shaped pattern of both intradaily volatility and volume shifted almost uniformly upwards following 1985; moreover, the U-shape is present not merely in the level of volatility and volume, but in the dispersion also. We examine intradaily volatility and volume on triple witching days, and find that volume is significantly higher at the open but not the close, while the opposite is true for volatility. Finally, we model the joint relationship of volatility and volume and find it be complex and non-linear.

Download or read book An Empirical Study of Intra day Stock Return Volatility written by Jian Su and published by . This book was released on 2011 with total page 0 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 Science & Business Media. This book was released on 2013-03-09 with total page 168 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 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 Time varying Volatility and the Power Law Distribution of Stock Returns written by Missaka Warusawitharana and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2001-08-31 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows to gain a better understanding of the motivation underlying the use of the quantitative models. In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms.

Download or read book The Distribution of Stock Return Volatility written by Torben G. Andersen and published by . This book was released on 2010 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional distributions of the variances and covariances for all thirty stocks are leptokurtic and highly skewed to the right, while the logarithmic standard deviations and correlations all appear approximately Gaussian. Moreover, the distributions of the returns scaled by the realized standard deviations are also Gaussian. Consistent with our documentation of remarkably precise scaling laws under temporal aggregation, the realized logarithmic standard deviations and correlations all show strong temporal dependence and appear to be well described by long-memory processes. Positive returns have less impact on future variances and correlations than negative returns of the same absolute magnitude, although the economic importance of this asymmetry is minor. Finally, there is strong evidence that equity volatilities and correlations move together, possibly reducing the benefits to portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or structure, and they set the stage for improved high-dimensional volatility modeling and out-of-sample forecasting, which in turn hold promise for the development of better decision making in practical situations of risk management, portfolio allocation, and asset pricing.

Download or read book Continuous Time Models Realized Volatilities and Testable Distributional Implications for Daily Stock Returns written by Torben G. Andersen and published by . This book was released on 2008 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time modeling paradigm traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and non-parametric jump detection statistics constructed from high-frequency intraday data. A sequence of relatively simple-to-implement moment-based tests involving various transforms of the daily returns speak directly to the import of different features of the underlying continuous-time processes that might have generated the data. As such, the tests may serve as a useful diagnostic tool in the specification of empirically more realistic asset pricing models. Our results are also directly related to the popular mixture-of-distributions hypothesis and the role of the corresponding latent information arrival process. On applying our sequential test procedure to the thirty individual stocks in the Dow Jones Industrial Average index, the data suggest that it is important to allow for both time-varying diffusive volatility, jumps, and leverage effects in order to satisfactorily describe the daily stock price dynamics. At a broader level, the empirical results also illustrate how the realized variation measures and high-frequency sampling schemes may be used in eliciting important distributional features and asset pricing implications more generally.

Download or read book The Distribution of Stock Returns Implied in Their Options at the Turn of The Year written by Steven L. Jones and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that for a sample of call options on stocks with low returns in the prior year, the implied volatilities increase as the year-end approaches. On the other hand, we do not detect an increase in the volatilities implied from the put options on the same stocks over the same dates. This is inconsistent with a hypothesis that the turn-of-the-year seasonal in stock returns is due to a seasonal increase in systematic risk. Instead, the results are consistent with price pressure from portfolio rebalancing at the turn-of- the-year. The implications are that the option market anticipates the return seasonal, but it survives in the stock market due to transaction costs.

Download or read book Intraday Trading Volume and Return Volatility of the Djia Stocks written by Ali F. Darrat and published by . This book was released on 2003 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.

Download or read book Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX written by Burkhard Raunig and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Return Dynamics Over Intra day Trading and Nontrading Periods in the London Stock Market written by Ronald W. Masulis and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Public Information Arrival and Volatility of Intraday Stock Returns written by Petko S. Kalev and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.

Download or read book Empirical Distributions of Daily Equity Index Returns written by Canan Gunes Corlu and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The normality assumption concerning the distribution of equity returns has long been challenged both empirically and theoretically. Alternative distributions have been proposed to better capture the characteristics of equity return data. This paper investigates the ability of five alternative distributions to represent the behavior of daily equity index returns over the period 1979-2014: the skewed Student-t distribution, the generalized lambda distribution, Johnson system of distributions, the normal inverse Gaussian distribution, and the g-and-h distribution. We find that the generalized lambda distribution is a prominent alternative for modeling the behavior of daily equity index 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 The Effects of Textual Information on Intraday Stock Return and Volatility written by Gulinuer Azhati 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 Stock Market Dynamics written by Robert Maria Margaretha Jozef Bauer and published by . This book was released on 1997 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: