Market Volatility

Author : Greg N. Gregoriou
Publisher : CRC Press
Page : 651 pages
File Size : 41,6 Mb
Release : 2009-04-08
Category : Business & Economics
ISBN : 1420099558

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Stock Market Volatility by Greg N. Gregoriou Pdf

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 : Robert J. Shiller
Publisher : MIT Press
Page : 486 pages
File Size : 42,6 Mb
Release : 1992-01-30
Category : Business & Economics
ISBN : 0262691515

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Market Volatility by Robert J. Shiller Pdf

Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.

Author : Robert A. Haugen
Publisher : Pearson
Page : 170 pages
File Size : 44,5 Mb
Release : 1999
Category : Business & Economics
ISBN : STANFORD:36105023074169

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Beast on Wall Street by Robert A. Haugen Pdf

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.

Author : Alexander Miller
Publisher : Wiley
Page : 288 pages
File Size : 51,6 Mb
Release : 1992-04-16
Category : Business & Economics
ISBN : 1557862524

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Financial Innovations and Market Volatility by Alexander Miller Pdf

In this book, Nobel Laureate Merton Miller presents a sustained attack on the popular view that modern financial innovations have created excessive market volatility to the detriment of individual savers and business investors, and that regulation is essential in such forms as higher margin requirements, taxes on trading, and perhaps even closing down the future market.

Author : Robert McNally
Publisher : Columbia University Press
Page : 336 pages
File Size : 50,6 Mb
Release : 2017-01-17
Category : Business & Economics
ISBN : 9780231543682

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Crude Volatility by Robert McNally Pdf

As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.

Author : Richard Lehman,Lawrence G. McMillan
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 42,9 Mb
Release : 2011-07-15
Category : Business & Economics
ISBN : 9781118102664

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Options for Volatile Markets by Richard Lehman,Lawrence G. McMillan Pdf

Practical option strategies for the new post-crisis financialmarket Traditional buy-and-hold investing has been seriously challengedin the wake of the recent financial crisis. With economic andmarket uncertainty at a very high level, options are still the mosteffective tool available for managing volatility and downside risk,yet they remain widely underutilized by individuals and investmentmanagers. In Options for Volatile Markets, Richard Lehmanand Lawrence McMillan provide you with specific strategies to lowerportfolio volatility, bulletproof your portfolio against anycatastrophe, and tailor your investments to the precise level ofrisk you are comfortable with. While the core strategy of this new edition remains covered callwriting, the authors expand into more comprehensive optionstrategies that offer deeper downside protection or even allowinvestors to capitalize on market or individual stock volatility.In addition, they discuss new offerings like weekly expirations andoptions on ETFs. For investors who are looking to capitalize onglobal investment opportunities but are fearful of lurking "blackswans", this book shows how ETFs and options can be utilized toconstruct portfolios that are continuously protected againstunforeseen calamities. A complete guide to the increased control and lowered riskcovered call writing offers active investors and traders Addresses the changing investment environment and how to useoptions to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and withOptions for Volatile Markets as your guide, you'll quicklylearn how to use them to protect your portfolio as well as improveits overall performance.

Author : Zuliu Hu
Publisher : International Monetary Fund
Page : 26 pages
File Size : 45,5 Mb
Release : 1995-10-01
Category : Business & Economics
ISBN : 9781451852585

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Stock Market Volatility and Corporate Investment by Zuliu Hu Pdf

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 : Hans R. Stoll,Robert E. Whaley
Publisher : Unknown
Page : 88 pages
File Size : 54,5 Mb
Release : 1990
Category : Program trading (Securities)
ISBN : UOM:35128000092716

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Stock Market Structure, Volatility, and Volume by Hans R. Stoll,Robert E. Whaley Pdf

Author : Louis O. Scott
Publisher : International Monetary Fund
Page : 68 pages
File Size : 49,6 Mb
Release : 1990-11-01
Category : Business & Economics
ISBN : 9781451944594

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Financial Market Volatility and the Implications for Market Regulation by Louis O. Scott Pdf

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 : Jean-Pierre Fouque,George Papanicolaou,K. Ronnie Sircar
Publisher : Cambridge University Press
Page : 222 pages
File Size : 50,6 Mb
Release : 2000-07-03
Category : Business & Economics
ISBN : 0521791634

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Derivatives in Financial Markets with Stochastic Volatility by Jean-Pierre Fouque,George Papanicolaou,K. Ronnie Sircar Pdf

This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Author : Dr. A. Latha
Publisher : Archers & Elevators Publishing House
Page : 287 pages
File Size : 49,8 Mb
Release : 2024-06-17
Category : Antiques & Collectibles
ISBN : 9789394958173

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STOCK MARKET VOLATILITY IN INDIA A Study with reference to Equities by Dr. A. Latha Pdf

Author : MissLiliana Schumacher,Mr.Armando Méndez Morales
Publisher : International Monetary Fund
Page : 40 pages
File Size : 41,5 Mb
Release : 2003-03-01
Category : Business & Economics
ISBN : 9781451846669

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Market Volatility As a Financial Soundness Indicator by MissLiliana Schumacher,Mr.Armando Méndez Morales Pdf

Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility indicator to analyze the Israeli's transition toward inflation targeting. Unlike conventional measures of volatility, it shows a substantial decline once volatility is measured against the minimum variance for the same returns on assets. Using a conventional Multivariate GARCH model, we find that interest rates sensitivity to changes in the risk environment may be important for a correct identification of volatility patterns of individual assets.

Author : Ms.Ratna Sahay,Mr.Vivek B. Arora,Mr.Athanasios V Arvanitis,Mr.Hamid Faruqee,Mr.Papa N'Diaye,Mr.Tommaso Mancini Griffoli
Publisher : International Monetary Fund
Page : 29 pages
File Size : 53,9 Mb
Release : 2014-10-02
Category : Business & Economics
ISBN : 9781484356005

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Emerging Market Volatility by Ms.Ratna Sahay,Mr.Vivek B. Arora,Mr.Athanasios V Arvanitis,Mr.Hamid Faruqee,Mr.Papa N'Diaye,Mr.Tommaso Mancini Griffoli Pdf

Accommodative monetary policies in advanced economies have spurred increased capital inflows into emerging markets since the global financial crisis. Starting in May 2013, when the Federal Reserve publicly discussed its plans for tapering unconventional monetary policies, these emerging markets have experienced financial turbulence at the same that their domestic economic activity has slowed. This paper examines their experiences and policy responses and draws broad policy lessons. For emerging markets, good macroeconomic fundamentals matter, and early and decisive measures to strengthen macroeconomic policies and reduce vulnerabilities help dampen market reactions to external shocks. For advanced economies, clear and effective communication about the exit from unconventional monetary policy can and did help later to reduce the risk of excessive market volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers emerging markets effective protection against excessive volatility.

Author : Florian Auinger
Publisher : Springer
Page : 91 pages
File Size : 44,5 Mb
Release : 2015-02-13
Category : Business & Economics
ISBN : 9783658089696

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The Causal Relationship between the S&P 500 and the VIX Index by Florian Auinger Pdf

Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.

Author : Guy Cohen
Publisher : FT Press
Page : 541 pages
File Size : 52,6 Mb
Release : 2009-05-08
Category : Business & Economics
ISBN : 9780131365315

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Volatile Markets Made Easy by Guy Cohen Pdf

Markets are more volatile than ever. That terrifies many investors, but it shouldn’t terrify you. Smart investors know how to feast on volatility. That’s because they’ve learned proven trading strategies designed specifically to profit from rapid market shifts. In Volatile Markets Made Easy: Trading Stocks and Options for Increased Profits, investing expert Guy Cohen teaches you how to earn big returns by systematically cherry picking the best trades while minimizing risk, and execute a simple trading plan that leverages your profits in volatile markets. "Volatile Markets Made Easy is not just a book; it is a full course of instruction. This is an incredible piece of work." —Ned W. Bennett, CEO/Cofounder, optionsXpress, Inc. "I highly recommend Guy Cohen’s Volatile Markets Made Easy, which introduces to the world his simple approach utilizing flag chart patterns to capitalize on trending stocks. Guy’s combination of clear explanations and lavishly detailed follow-throughs of trade examples cogently demonstrates how to deploy several simple, option-based strategies to make consistent money with one of the most reliable stock chart patterns—while strictly limiting risk with sound money management techniques. Add this one to your shelf." —John Brasher, CallWriter.com