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Author : Bruno H. Solnik,Cyril Boucrelle,Yann Le Fur
Publisher : Unknown
Page : 128 pages
File Size : 54,8 Mb
Release : 2000
Category : Electronic
ISBN : OCLC:606078295
Author : Francois M. Longin
Publisher : Unknown
Page : 24 pages
File Size : 54,9 Mb
Release : 2017
Category : Electronic
ISBN : OCLC:1290701356
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ldquo;extreme value theoryrdquo; to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
Author : Bruno H. Solnik,Cyril Boucrelle,Yan Le Fur
Publisher : Unknown
Page : 12 pages
File Size : 42,8 Mb
Release : 1996
Category : Electronic
ISBN : 2854185714
Author : Eugenie M.J.H. Hol
Publisher : Springer Science & Business Media
Page : 161 pages
File Size : 47,7 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9781475751291
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.
Author : Mr.A. Javier Hamann,Irina Bunda,Mr.Subir Lall
Publisher : International Monetary Fund
Page : 28 pages
File Size : 46,7 Mb
Release : 2010-01-01
Category : Business & Economics
ISBN : 9781451961775
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Author : Greg N. Gregoriou
Publisher : CRC Press
Page : 651 pages
File Size : 52,5 Mb
Release : 2009-04-08
Category : Business & Economics
ISBN : 1420099558
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 developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives. Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
Page : 864 pages
File Size : 46,7 Mb
Release : 2005-07-08
Category : Business & Economics
ISBN : 9780470091401
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
Author : François M. Longin
Publisher : Unknown
Page : 44 pages
File Size : 40,5 Mb
Release : 2000
Category : International finance
ISBN : UVA:X006110998
Author : Louis O. Scott
Publisher : International Monetary Fund
Page : 68 pages
File Size : 54,6 Mb
Release : 1990-11-01
Category : Business & Economics
ISBN : 9781451944594
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.
Author : Niklas Humann
Publisher : GRIN Verlag
Page : 26 pages
File Size : 44,5 Mb
Release : 2022-04-28
Category : Business & Economics
ISBN : 9783346635761
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.
Author : John Beirne
Publisher : Unknown
Page : 42 pages
File Size : 41,8 Mb
Release : 2009
Category : Stock exchanges
ISBN : IND:30000087928077
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.
Author : Kristin Forbes,Roberto Rigobón
Publisher : Unknown
Page : 54 pages
File Size : 48,6 Mb
Release : 1999
Category : Contagion (Social psychology)
ISBN : UCSD:31822028497790
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.
Author : Zuliu Hu
Publisher : International Monetary Fund
Page : 34 pages
File Size : 54,9 Mb
Release : 1995-10
Category : Business & Economics
ISBN : UCSD:31822021341169
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Author : Paul Kupiec
Publisher : Unknown
Page : 64 pages
File Size : 40,6 Mb
Release : 1991
Category : Banks and banking, International
ISBN : UCSC:32106011831838
Author : M. Morgan
Publisher : Springer
Page : 268 pages
File Size : 50,6 Mb
Release : 2009-08-31
Category : Business & Economics
ISBN : 9780230100060
The Impact of 9/11 on Business and Economics is the second volume of the six-volume series The Day that Changed Everything? edited by Matthew J. Morgan. The series brings together from a broad spectrum of disciplines the leading thinkers of our time to reflect on one of the most significant events of our time.
