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Relevant bibliographies by topics / Stock-Market Volatility Tests

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Academic literature on the topic 'Stock-Market Volatility Tests'

Author: Grafiati

Published: 14 March 2023

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Journal articles on the topic "Stock-Market Volatility Tests"

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Magner Pulgar, Nicolás, Esteban José Antonio Terán Sánchez, and Vicente Alfonso Guzmán Muñoz. "Stock Market Synchronization and Stock Volatility: The Case of an Emerging Market." Revista Mexicana de Economía y Finanzas 17, no. 3 (2022): 1–22. http://dx.doi.org/10.21919/remef.v17i3.747.

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The purpose of this paper is to study the effect of stock market synchronization on the volatility of its component assets. For this objective, we calculate the stock market's synchronization using the Minimum Spanning Tree Length (MSTL) network analysis method. Then, we implement forecasting tests in and out the sample to assess the forecasting power on the stock market's synchronization to predict the individual stock realized volatility. Additionally, we test a VAR and a forecast error variance decomposition analysis to study Granger causality's presence on volatility. Our results show that

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Acuña, Andrés, and Cristián Pinto. "Eficiencia del mercado accionario Chileno: un enfoque dinámico usando test de volatilidad." Lecturas de Economía, no. 70 (September 11, 2009): 39–61. http://dx.doi.org/10.17533/udea.le.n70a2254.

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En este artículo estudiamos la eficiencia del Mercado Accionario Chileno (MAC). Para su comprobación usamos un modelo de equilibrio parcial que representa la manera como se forma el precio de los activos financieros. Contrastamos la volatilidad observada en los precios de las acciones y la volatilidad esperada en un modelo de mercado accionario eficiente. El análisis estadístico comprende datos de frecuencia mensual de títulos transados en la Bolsa de Comercio de Santiago de Chile en el periodo 1987-2007. Utilizando tests de volatilidad, encontramos evidencia de exceso de volatilidad en los pr

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Ogbulu, Onyemachi Maxwell. "Oil Price Volatility, Exchange Rate Movements and Stock Market Reaction: The Nigerian Experience (1985-2017)." American Finance & Banking Review 3, no. 1 (2018): 12–25. http://dx.doi.org/10.46281/amfbr.v3i1.200.

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Given the observed volatility in crude oil prices in the international oil market and the role which oil and gas play in the Nigerian economy, this paper is an attempt to investigate the impact of crude oil prices and foreign exchange rate movements on stock market prices in Nigeria. In addition, the paper examined whether there is any volatility pass-through between the dollar price of Nigerian crude oil, foreign exchange rate of the Naira and stock market prices respectively. Data employed for the study are monthly values of the Nigerian Stock Exchange (NSE) All-Share Index (ASI), Dollar pri

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Mecagni, Mauro, and Maged Sawky Sourial. "The Egyptian Stock Market: Efficiency Tests and Volatility Effects." IMF Working Papers 99, no. 48 (1999): 1. http://dx.doi.org/10.5089/9781451846720.001.

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Nguyen, Hien Thu, and Nghi Dinh Le. "TESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET." Science and Technology Development Journal 13, no. 4 (2010): 5–14. http://dx.doi.org/10.32508/stdj.v13i4.2182.

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An important factor of interest of investors on stock markets is investment risk. Risk can undergo a quantitative process through volatility, be measured by conditional variance of stock returns. GARCH is an effective and popularly used model for volatility effect on stock returns. This study tests the GARCH model and analyzes other aspects of volatility on stock returns on the two stock markets of Vietnam. In addition, the study provides evidence of the existence of GARCH effect on Vietnamese stock markets. Besides, the study also assesses price margin policy, trading volume and leverage effe

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Bhuva, Krunal K., and Vijay H. Vyas. "Expiry day Impact on return on Indian Stock market (NSE)- an Empirical Study." Journal of Management and Science 1, no. 3 (2013): 402–9. http://dx.doi.org/10.26524/jms.2013.45.

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Derivative products are alleged to have a sharp affect on the stock market in various ways ever since their inception in June 2000. Currently, derivative trading constitutes approximately 90% of the total turnover of the NSE (National Stock Exchange). Launching of derivatives and their expiration (last Thursday of every month) in the Indian stock market has been perceived to have direct corollary on the return, volatility, efficiency and marketability of the stock market. This paper tries to analyze empirically the expiration day effect of stock derivatives on underlying securities. This study

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Leblang, David, and Bumba Mukherjee. "Presidential Elections and the Stock Market: Comparing Markov-Switching and Fractionally Integrated GARCH Models of Volatility." Political Analysis 12, no. 3 (2004): 296–322. http://dx.doi.org/10.1093/pan/mph020.

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Existing research on electoral politics and financial markets predicts that when investors expect left parties—Democrats (US), Labor (UK)—to win elections, market volatility increases. In addition, current econometric research on stock market volatility suggests that Markov-switching models provide more accurate volatility forecasts and fit stock price volatility data better than linear or nonlinear GARCH (generalized autoregressive conditional heteroskedasticity) models. Contrary to the existing literature, we argue here that when traders anticipate that the Democratic candidate will win the

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Wanyama, Dr David W. "EFFECT OF STOCK MARKET VOLATILITY ON THE GROWTH OF CORPORATE BOND MARKET IN KENYA." International Journal of Finance 2, no. 2 (2017): 76. http://dx.doi.org/10.47941/ijf.57.

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Purpose: The purpose of this study was to analyze how stock market volatility influences the growth of corporate bond market in Kenya.Methodology: The study used descriptive and causal research designs. Secondary data was used. The sample of the study consisted of daily and monthly time series covering six years beginning January 2009 to December 2014. Unit root tests using Augmented Dickey-Fuller (ADF) and Phillips-Perron tests were done. The study used Eviews econometric software to facilitate empirical analysis of data.Results: Regression of coefficients results shows that stock market vola

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GIL-ALANA, LUIS A. "FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES." International Journal of Theoretical and Applied Finance 05, no. 08 (2002): 775–83. http://dx.doi.org/10.1142/s0219024902001663.

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In this article we model the stock market volatility in the US, the UK, France, Germany and Japan by means of using fractionally integrated techniques. The results, based on the tests of Robinson [24] show that the volatility series can be well described in terms of I(d) statistical processes, with d higher than 0.5 but smaller than 1, implying thus nonstationary but mean-reverting behaviour.

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Badshah, Koerniadi, and Kolari. "Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases." Journal of Risk and Financial Management 12, no. 4 (2019): 179. http://dx.doi.org/10.3390/jrfm12040179.

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The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not significantly related to buy-and-hold abnormal stock returns. However, further evidence reveal a significant relationship between implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that option traders have private information on the volatility of stock returns and superior information

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Dissertations / Theses on the topic "Stock-Market Volatility Tests"

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Shabi, Sarosh. "Stock market volatility, business cycles and the recent financial crisis : evidence from linear and non-linear causality tests." Thesis, University of Southampton, 2014. https://eprints.soton.ac.uk/373080/.

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The relationship between stock market volatility and the business cycle is macrofinancial as it links the fields of financial markets and macro-economics. This relationship links to theories of rational expectations/efficient market hypotheses and asset pricing theory. This thesis investigates the long run relationship between stock market volatility and business cycles by means of linear and non linear bivariate and multivariate causality tests. Moreover, it investigates the impact of the recent global financial crisis on the stock market volatility (SMV) and business cycles (BC) relationship

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BUONAGUIDI, DAMIANO. "Choice of Exogenous Variables, Stock Market Dynamics, Financial Sector: Three Essays on Macroeconomic Theory." Doctoral thesis, Università di Siena, 2018. http://hdl.handle.net/11365/1061353.

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The choice of exogenous variables is a fundamental element for the logical structure of economic models, leading to different positive and normative implications about growth, distribution and economic policies. In this dissertation a comparative approach is used both to study different models from a theoretical point of view and to analyze the link between the financial and the real sector of the economy. In the first chapter we present a comparison between the neoclassical model and the alternative approach, drawn from the classical and post-keynesian literature, within a common mathematica

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Karadag, Mehmet Ali. "Analysis Of Turkish Stock Market With Markov Regime Switching Volatility Models." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf.

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In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. We investigate various models to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, we apply Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) to compare forecast performance of various models.

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Rossetti, Nara. "Análise das volatilidades dos mercados brasileiros de renda fixa e renda variável no período 1986 - 2006." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-29042008-115430/.

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O presente trabalho tem como objetivo analisar a volatilidade dos mercados de renda fixa e renda variável no Brasil, no período de março de 1986 até fevereiro de 2006, por meio do CDI (Certificado de Depósito Interfinanceiro) e IRF-M (Índice de Renda Fixa de Mercado), como indicadores do mercado de renda fixa, e o IBOVESPA (Índice da BOVESPA), como indicador de renda variável. Por meio da comparação da volatilidade destes ativos é possível observar se há coincidência temporal entre os dois mercados, em relação aos picos de volatilidade devido, principalmente, a influência de variáveis macroeco

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Rossetti, Nara. "Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/18/18157/tde-10092015-094310/.

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O presente trabalho analisou as volatilidades dos mercados de renda fixa e variável de onze países, sendo eles: Brasil, Rússia, Índia, China, África do Sul (neste país apenas renda fixa), Argentina, Chile, México, Estados Unidos, Alemanha e Japão no período de janeiro de 2000 a dezembro de 2011. Os indicadores utilizados para representar cada mercado foram os índices dos mercados de ações e as taxas de juros interbancárias. Para tanto, o estudo se utilizou de modelos de heterocedasticidade condicional auto-regressiva: ARCH, GARCH, EGARCH, TGARCH e PGARCH, verificando quais destes processos era

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Pinto, Rinaldo Caldeira. "Uma análise da utilização do coeficiente Beta no setor elétrico brasileiro." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/86/86131/tde-18112008-150903/.

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O coeficiente beta, definido no contexto do modelo de avaliação de ativos denominado Capital Asset Pricing Model, tem sido amplamente utilizado no Setor Elétrico Brasileiro. Sua aplicação tem sido importante não apenas no âmbito das revisões tarifárias conduzidas pelo órgão regulador, mas também para análise das empresas do setor pelos investidores em mercado de capitais. Embora a aplicação do modelo CAPM seja simples, ele é construído sobre hipóteses rigorosas, que nem sempre são observáveis no mercado real, principalmente em países emergentes. Inserido no referencial teórico deste Modelo, o

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Chang, Che-Wei, and 張哲維. "Using the Short-term volatility and the Long-term volatility to Test the Performance of Investment in Taiwan Stock-Index Options Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/57242481317110625478.

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碩士<br>逢甲大學<br>經營管理碩士在職專班<br>96<br>The purpose of this research is make a simulation as an empirical study through the short-term volatility and the long-term volatility, to find out the turning point of the Taiwan Stock-Index Options Market by the approach and out signals with these two indicators. And hope to get additional compensation in the market. As the observation period from 1/1/2005 to 12/31/2006, Two of in-the-money strike price and five of out-the-money strike price to the sample, use 2-10 days for the Short-term volatility and 3-20 days for the long-term volatility to study. In bul

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Books on the topic "Stock-Market Volatility Tests"

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Mecagni, Mauro. The Egyptian stock market: Efficiency tests and volatility effects. International Monetary Fund, Middle Eastern Department, 1999.

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Sourial, Maged Sawky, and Mauro Mecagni. Egyptian Stock Market: Efficiency Tests and Volatility Effects. International Monetary Fund, 1999.

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Sourial, Maged Sawky, and Mauro Mecagni. Egyptian Stock Market - Efficiency Tests and Volatility Effects. International Monetary Fund, 1999.

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Sourial, Maged Sawky, and Mauro Mecagni. Egyptian Stock Market - Efficiency Tests and Volatility Effects. International Monetary Fund, 1999.

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Book chapters on the topic "Stock-Market Volatility Tests"

1

Filipovski, Vladimir, and Dragan Tevdovski. "Stock Market Efficiency in South Eastern Europe." In Regaining Global Stability After the Financial Crisis. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4026-7.ch011.

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The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets.

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Ben Sassi, Salim, and Azza Bejaoui. "On the Impact of Long Memory on Market Risk." In Advances in Finance, Accounting, and Economics. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3767-0.ch003.

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This chapter investigates the influence of the long memory behavior in returns and volatility on the market risk for four emerging stock markets during the pre- and post-crisis periods. In this respect, the authors consider four major political events (Tunisian revolution, Egyptian revolution, assassination of Prime Minister Rafik El Hariri, and a series of suicide bombings in Morocco). Using the modified R/S test and GPH test, they show the long memory property in returns and volatility over the two sub-periods. To explore the dual long memory property, the authors apply the joint ARFIMA–FIGARCH specification on the returns and volatility of the four emerging stock markets. The dual long memory property is prevalent in the returns and volatility of the emerging stock markets over the pre-crisis period. During the post-crisis period, the dual long memory process is only detected in the Moroccan market. The authors also display the dynamic behavior of VaR during the two sub-periods. In addition, based on the backtesting test, VaR performed better during the two sub-periods for all countries.

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Jawad, Muhammad, and Munazza Naz. "An Econometric Investigation of Market Volatility and Efficiency: A Study of Small Cap’s Stock Indices." In Linear and Non-Linear Financial Econometrics -Theory and Practice [Working Title]. IntechOpen, 2020. http://dx.doi.org/10.5772/intechopen.94119.

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By utilization the context of econometric models, this chapter investigates three significant research parameters and tries to find out the positive outcome for further studies. The first question, is the volatility of Small Cap foreseeable?. The second question, does the volatility of Small Cap exhibition the same pragmatic regularities stated in the literature about the behavior of further stock prices?, The third and Final question, can Small Cap clear the test of market efficiency?. The results of these research questions will provide the answers of following objectives: First, economic representatives investing in Small Cap Stock markets. Second, the business professors/professionals/educationist is more concerned in Small Cap for their teaching and research. Third, the policy makers who are observing the stock market volatilities because of its significances and impulsive behavior to invest for more incentives among other consequences.

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Oluseun Olayungbo, David. "Volatility Effects of the Global Oil Price on Stock Price in Nigeria: Evidence from Linear and Non-Linear GARCH." In Linear and Non-Linear Financial Econometrics -Theory and Practice. IntechOpen, 2021. http://dx.doi.org/10.5772/intechopen.93497.

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This present study examines the volatility effects of the oil price on the stock price returns in Nigeria from the period of 2000M(12) to 2020M(4) on a monthly data using both standard GARCH and non-linear GARCH models. The motivation for the present study is the recent fall in the global oil price of Brent Crude to US$15.25 per barrel due to the outbreak of the Corona Virus (COVID-19). Consequentially, the Nigerian stock market (NSE) responded with a fall of 4172 point or by a fall of 15.53%. After establishing the presence of heteroscedasticity through the ARCH test and volatility clustering through the returns, the outcome of the study contributes to knowledge by providing financial information and signals to investors about the best GARCH model response to proactively and successfully use to model global oil price shocks so as to reduce financial risk in Nigeria’s stock market.

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Van Hai, Hoang, Phan Kim Tuan, and Le The Phiet. "Firm-specific News and Anomalies." In Investment, Asset Pricing and Portfolio Choice Strategies [Working Title]. IntechOpen, 2020. http://dx.doi.org/10.5772/intechopen.94286.

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This study investigates the relation between idiosyncratic volatility and future returns around the firm-specific news announcements in the Korean stock market from July 1995 to June 2018. The excess returns of decile portfolios that are formed by sorting the stocks based on news and non-news idiosyncratic volatility measures. The Fama and French three-factor model is also examined to see whether systematic risk affects news and non-news idiosyncratic volatility profits. The pricing of our news and non-news idiosyncratic volatility are confirmed in the cross-sectional regression using the Fama and MacBeth method. Market beta, size, book to market, momentum, liquidity, and maximum return are controlled to determine robustness. Our empirical evidence suggests that the pricing of the non-news idiosyncratic volatility is more strongly negative compared to the news idiosyncratic volatility, which is contrary to the limited arbitrage explanation for the negative price of the idiosyncratic volatility. We find that the non-news idiosyncratic volatility has a robust negative relation to returns in non-January months. Macro-finance factors drive the conditioned on the missing risk factor hypothesis, the pricing of idiosyncratic volatility. This study contributes to a better understanding of the role of the conditional idiosyncratic volatility in asset pricing. As the Korean stocks provide a fresh sample, our non-U.S. investigation delivers a useful out-of-sample test on the pervasiveness of the non-news volatility effect across the emerging markets.

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Conference papers on the topic "Stock-Market Volatility Tests"

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Fu, Yiting, and Xiongwei Wang. "Tests for the Transmission Mechanism of Stock Market Volatility between China and U.S during Subprime Crisis." In 2011 International Conference on Business Computing and Global Informatization (BCGIn). IEEE, 2011. http://dx.doi.org/10.1109/bcgin.2011.30.

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Bogdan, Siniša, Luka Šikić, and Suzana Bareša. "THE EFFECT OF THE COVID-19 PANDEMIC ON THE CROATIAN TOURIST SECTOR." In Tourism in Southern and Eastern Europe 2021: ToSEE – Smart, Experience, Excellence & ToFEEL – Feelings, Excitement, Education, Leisure. University of Rijeka, Faculty of Tourism and Hospitality Management, 2021. http://dx.doi.org/10.20867/tosee.06.8.

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Purpose – The COVID-19 pandemic, unprecedented in terms of the speed at which it spread globally, affected the whole world swiftly after the initial outbreak and has produced heterogeneous effects on various industrial sectors and particularly pronounced effects on the tourism industry. This paper analyses the effect of the spread of the COVID-19 pandemic through Europe on the tourist stocks in Croatia by means of application of the event study methodology. Methodology – The analysis starts with a descriptive overview of the market-wide performance of different sectors in the period before, du

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Algan, Neşe, Mehmet Balcılar, Harun Bal, and Müge Manga. "Impact of Terrorism on Financial Markets: The Case of Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01706.

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This study investigates the impact of terrorism on the Turkish financial market using daily data from Jan 4, 1988 to May 24, 2016. In order to measure the impacts of terrorist attacks in Turkey we test for causality from terrorism index to returns and volatilities of 3 aggregate and 16 sector level stock indices using a recently developed nonparametric causality-in-test test of Balcilar et al. (2016). The results obtained indicate that there is no causality from terrorist activities to stock market returns (1st moment). However, we find significant causality at various quantiles from terrorist

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Chen, A. P., H. Y. Chiu, C. C. Sheng, and Y. H. Huang. "Do markets behave as expected? Empirical test using both implied volatility and futures prices for the Taiwan Stock Market." In COMPUTATIONAL FINANCE 2006. WIT Press, 2006. http://dx.doi.org/10.2495/cf060291.

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