Дисертації з теми "Volatility predictability"
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Zhang, Yuzhao. "Essays on return predictability and volatility estimation." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666139151&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Повний текст джерелаKasch-Haroutounian, Maria. "Transition equity markets of Central Europe : volatility, predictability, integration." Thesis, City University London, 2000. http://openaccess.city.ac.uk/8058/.
Повний текст джерелаLetra, Ivo José Santos. "What drives cryptocurrency value? A volatility and predictability analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12556.
Повний текст джерелаEsta tese descreve como as moedas digitais se tornaram no novo fenómeno nos mercados financeiros e como a mais popular das moedas digitais - Bitcoin - originou perguntas cruciais sobre o seu valor e como ao mesmo tempo as suas séries financeiras criaram uma oportunidade para estudar várias dinâmicas sobre o preço, que tipicamente estão fortemente ligadas a movimentos especulativos e sem análise fundamental. Com a utilização de um modelo GARCH(1,1) sobre dados diários e centrando-se em dois fenómenos recentes - moedas digitais, nomeadamente Bitcoin e conteúdo web oriundo do Google Trends, Wikipedia e Twitter - verificámos que os retornos da Bitcoin são fortemente impulsionados pela sua popularidade. Assim, analisando este relacionamento e modelando a existência de variâncias condicionais heterocedásticas demonstramos que o conteúdo proveniente de motores de busca e redes sociais e a flutuação nos preços Bitcoin estão intensamente ligados e que esta relação exibe alguma previsibilidade.
This thesis describes how digital currencies have rose as a new interesting phenomenon in the financial markets and how the most popular of the digital currencies - BitCoin - have risen crucial questions about their exchange rates and also represents a field to study the dynamics of this market, which is strongly connected with speculative traders with no fundamentals as there is no fundamental value to the currency. Using a GARCH(1,1) model on daily data and focusing on two emerging phenomena of recent years - digital currencies, particularly Bitcoin, and web content provided by search queries on Google Trends and Wikipedia and tweets from Twitter - we discover that Bitcoin returns are driven primarily by its popularity. Thus, we analyze their relationship, the existence of volatility clustering and demonstrate that the web content and Bitcoin prices are connected and they exhibit some predictable power.
Wu, Ruojun. "Essays on the predictability and volatility of returns in the stock market." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2008. http://wwwlib.umi.com/cr/ucsd/fullcit?p3316421.
Повний текст джерелаTitle from first page of PDF file (viewed Sept. 4, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 127-132).
Erickson, Matthew James, and Matthew James Erickson. "The Relation Between Firm Dividend Policy and the Predictability of Cash Effective Tax Rates." Diss., The University of Arizona, 2017. http://hdl.handle.net/10150/624547.
Повний текст джерелаMohamed, El-Emam A. E. "Analysis of behaviour and predictability of stock returns and volatility on the Egyptian stock exchange." Thesis, University of York, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.422541.
Повний текст джерелаJones, Greg. "The predictability and performance of the market volatility forecast implied by the premiums of FTSE100 index option contracts." Thesis, University of Reading, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298751.
Повний текст джерелаPsaradellis, I. "Essays on predictability & excess profitability of quantitative methods : modelling implied volatility, technical trading, data snooping and market efficiency." Thesis, University of Liverpool, 2017. http://livrepository.liverpool.ac.uk/3012184/.
Повний текст джерелаAlitab, Dario. "Discrete time models for financial volatility and jumps." Doctoral thesis, Scuola Normale Superiore, 2017. http://hdl.handle.net/11384/85716.
Повний текст джерелаStan, Denis-Emanuel. "News flow and trading activity: A study of investor attention and market predictability." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/203276/1/Denis-Emanuel_Stan_Thesis.pdf.
Повний текст джерелаBozhkov, Stanislav. "Idiosyncratic risk and the cross section of stock returns." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/16792.
Повний текст джерелаWatugala, Sumudu Weerakoon. "Essays on interconnected markets." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:50c12fb0-a354-40bb-9d07-9174ad1f594a.
Повний текст джерелаDias, Shehan Preethike Dilruk. "An enquiry into econometric testing of PPP-sensitivity issues, and a study of interrelations, predictabilty, volatility and nonlinearity of daily asset returns." Thesis, Birkbeck (University of London), 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.497634.
Повний текст джерелаWu, Guan-Wei, and 吳冠緯. "Low Volatility Anomaly and Its Predictability." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/z45ur4.
Повний текст джерела國立中央大學
財務金融學系
105
Low volatility anomaly began to attract attention in recent years because it violates the positive trade-off relation between risk and return illustrated by the traditional financial theory. Researches also find that low volatility anomaly is an empirical phenomenon observed worldwide. Still others want to come up with possible reasons in order to explain this puzzle. This thesis finds that low volatility anomaly also exists in Taiwan stock market, and aims to discuss the relation between the low volatility portfolio and TAIEX. This thesis finds that using one-month formation period with one-month holding period and four-week formation period with one-week holding period and sorting the companies by idiosyncratic risk demonstrates the strongest low volatility anomaly. This thesis also finds that when the volatility of stock market increases, the low volatility portfolio will have a better performance. Finally, this thesis finds that the performance of the low volatility strategy is related to the volatility of stock market and the performance of market portfolio simultaneously. Indeed, low volatility anomaly can reflect the current safe haven effect of stock market.
Park, Heungju. "Credit Conditions and Stock Return Predictability." Thesis, 2011. http://hdl.handle.net/1969.1/ETD-TAMU-2011-08-9851.
Повний текст джерелаFremunt, Marek. "Predictability of security returns using Twitter sentiment." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-333503.
Повний текст джерелаJacewitz, Stefan A. "Essays on the Predictability and Volatility of Asset Returns." 2009. http://hdl.handle.net/1969.1/ETD-TAMU-2009-08-859.
Повний текст джерелаGAO, RUO-GHIAN, and 高若謙. "Earnings Volatility and Earnings Predictability-Consideration of Earnings Volatility Components and Firm Life Cycle." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/fezva9.
Повний текст джерела東吳大學
會計學系
106
Earnings persistence is an important variable in measuring the quality of earnings, and it is also an important variable in valuation. Literature studies show that earnings volatility negatively affects earnings persistence. Therefore, in this study, by the evidence from companies listed on the Taiwan stock exchange in 1991-2016, we further separates the earnings volatility into four earnings volatility components based on income statement structure. The Dickinson(2011) cash flow statement information is used to measure the life cycle of the company, and divide the sample company into five life cycle stages. The empirical results show below: 1. Earnings volatility has a negative impact on predicting the future earnings. 2. The relationship between earnings volatility components and predicting the future earnings is as follows. First, gross profit volatility does not affect the future earnings. Second, R&D expense volatility has a positive relationship when predicting the future earnings. Last, non-operating expense and revenue volatility has a negative relationship with the future earnings. 3. Gross profit volatility and the future earnings prediction have a negative relationship for introduction firms. However, there isn’t any effect on growing firms and mature firms. Nevertheless, it becomes a positive relationship for shake-out firms and decline firms. The relationship between R&D expense volatility and predicting the future earnings, for introduction firms, mature firms, shake-out firms and decline firms, is positive. But there is no influence on growing firms. While non-operating expense and revenue volatility have a negative impact on predicting the future earnings for all firm life cycles stage.
Chen, Hui-Chieh, and 陳慧倢. "Predictability of options’ net buying pressure for returns and volatility." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/15459759155206649449.
Повний текст джерела東海大學
財務金融學系
103
Option-related indicators are often used to predict stock returns and volatility. In contrast to information variables adopted in the related literatures, we predict TAIEX returns and vola-tility with the information content of options’ net buying pressure. Indeed, total net buying pressure used in the literatures has limited predictability, because the direction-trading effect and volatility-trading effect may cancel each other out in the calculation of total net buying pressure. We thus follow Chen and Wang (2015) to decompose total net buying pressure into the direction-trading-motivated net buying pressure (NBPD) and the volatility-trading-motivated net buying pressure (NBPV), and further examine their predictability in stock re-turns and volatility, respectively. Our empirical results show that NBPD of TAIEX options (TXO) has significant predictability in TAIEX returns, regardless of the happening of the 2011 U.S. Debt-Ceiling Crisis. The predicative power even persists up to the leading eight periods. We also find that NBPV of ITM options has predictability in TAIEX volatility after the U.S. Debt-Ceiling Crisis. It indicates that the decomposed net buying pressure contain information in both the future price movement and volatility of TAIEX prices.
Tai, ChungYao, and 戴仲堯. "The Impact of Foreign Institutional Trading on Return Predictability of Volatility Spread." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/51933947752804583049.
Повний текст джерела東海大學
財務金融學系
102
This study seeks the evidence concerning the predictability of volatility spread on future price movements in Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). We also discuss whether the increase of foreign institutional investors’ activities in the option market enhances the predictability of volatility spread. By adopting the TAIEX option intraday transaction data, we find that volatility spread does have predictability in future TAIEX return, which is similar to the finding in the U.S. market. Furthermore, by adding option/stock ratio of foreign institutions as an information variable to represent the degree that foreign institutional investors participate in option markets, we find the predictability is much more significant and is able to foresee TAIEX return up to three days ahead. Our findings support that volatility spread carries information about future returns of the TAIEX index, and the increase in option trading activities of foreign institutional investors enables to enhance the predictive power of volatility spread. It also indicates information that foreign institutional investors possess is superior to other kinds of investors.
Chen, Meng-Chien, and 陳孟謙. "The Predictability of Stock Returns Using the Information of Option Volatility Smirk: New evidence." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/81016113350520742464.
Повний текст джерела國立交通大學
財務金融研究所
102
The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Future returns are linked to the discrepancy between call and put volatilities of options and to the left side of the volatility skew, calculated as the difference between out-of-the-money and at-the-money puts. In this paper, we sort out the slope of the volatility curve that appears in the previous literature, furthermore we use delta to determine whether option is out of the money or at the money. And analyze the performance of each measure in the different samples time series. Strategies based on several option measures can predict returns and alphas on the underlying stock in various market conditions. The findings herein suggest that information diffuses gradually from the option market to the underlying stock market. It also suggests that informed traders trade in the options market and that the stock market is slow to incorporate information from the options market.
Hao-ShuKou and 苟顥書. "Using technical rules to enhance the predictability of the standard GARCH model for the volatility of stock indices." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/8776jm.
Повний текст джерела國立成功大學
財務金融研究所
103
The main purpose of this study is to explore whether technical analysis can improve the predictability of Generalized Autoregressive Conditional Heteroscedasticity (GARCH(1,1)) for the volatility of stock index. Four technical analysis categories, filter rule, support and resistance, channel breakout, and moving average, were applied, creating 1,107 rules in total, and the rules were used individually on the realized volatility of stock index to obtain signals. We discuss if the GARCH(1,1)-augmented model with technical analysis signals can provide better predictability for stock index volatility than the benchmark model(GARCH(1,1)). Employing the mean absolute error (MAE) and mean squared error (MSE) as performance measure, we conduct Hsu, Hsu and Yen’s (2014) Step-SPA(k) test to control for the data snooping bias. Dow Jones Industrial Average data from 2008 to 2012 and 1993 to 1992 are used as the sample. Our results showed that analyzing realized volatility signals with technical rules does not lead to a significant improvement in the predictability of the GARCH(1,1) model for volatility of stock indices.
FAN, YI-YANG, and 范翊揚. "Study of the Low Volatility Anomaly and Its Predictability- From TWSE Corporate Governance Index and Yuanta Taiwan Dividend Plus Perspective." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/65f7h4.
Повний текст джерела國立高雄科技大學
金融系
107
Low volatility anomaly began to attract attention in recent years because it violates the positive trade-off relation between risk and return illustrated by the traditional financial theory. Researches also find that low volatility anomaly is an empirical phenomenon observed worldwide. More importantly, recent research had also proved that low volatility anomaly phenomenon also exists in Taiwan market. This thesis finds that low volatility anomaly also exists in the portfolio of the sharing component stocks of TWSE corporate governance index and Yuanta Taiwan dividend plus ETF. This research uses the sharing component stocks as the low volatility portfolio, aims to discuss the relation between the low volatility portfolio’s payoff and the market risk. This thesis uses weekly, monthly and quarterly period to calculate the payoffs of the low volatility portfolio and the market risk. This thesis finds that when the volatility of stock market increases, the low volatility portfolio will have a better performance. The payoffs of the low volatility portfolio do not have consistent anticipation power on the market risk. Nonetheless, this thesis also finds that the payoffs of the low volatility portfolio can reflect the current market risk especially in the monthly category.
Xu, Lai. "What About Short Run?" Diss., 2014. http://hdl.handle.net/10161/8712.
Повний текст джерелаThis dissertation explores issues regarding the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited empirical support in the short-run. Nowadays, there has been a consensus of the literature that the short-run equity return's predictability is intimately linked with the variance risk premium---the difference between options-implied and actual realized variation measures.
In this work, I continue to argue the importance of the short-lived components in the equity risk premium. Specifically, I first provide simulation evidence of the strong return predictability based on the variance risk premium in the U.S. aggregate market, and document new empirical findings in the international setting. Then I attempt to use a structural macro-finance model to guide through the predictability estimation with much more efficiency gain. Finally I decompose the equity risk premium into two short-lived parts --- tail risk and diffusive risk --- and propose a semi-parametric estimation method for each part. The results are arranged in the following order.
Chapter 1 of the dissertation is co-authored with Tim Bollerslev, James Marrone and Hao Zhou. In this chapter, we demonstrate that statistical finite sample biases cannot ``explain'' this apparent predictability in U.S. market based on variance risk premium. Further corroborating the existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland, the Netherlands, Belgium and the U.K. result in quite similar patterns. Defining a ``global'' variance risk premium, we uncover even stronger predictability and almost identical cross-country patterns through the use of panel regressions.
Chapter 2 of the dissertation is co-authored with Tim Bollerslev and Hao Zhou. In this chapter, we examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidences that the expected return variation and the variance risk premium positively forecast both short-horizon returns \textit{and} dividend growth rates. We also confirm that dividend yield positively forecasts long-horizon returns, but that it does not help in forecasting dividend growth rates. Our equilibrium-based ``structural'' factor GARCH model permits much more accurate inference than %the reduced form VAR and
univariate regression procedures traditionally employed in the literature. The model also allows for the direct estimation of the underlying economic mechanisms, including a new volatility leverage effect, the persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts of the underlying ``structural'' shocks.
In Chapter 3 of the dissertation, I develop a new semi-parametric estimation method based on an extended ICAPM dynamic model incorporating jump tails. The model allows for time-varying, asymmetric jump size distributions and a self-exciting jump intensity process while avoiding commonly used but restrictive affine assumptions on the relationship between jump intensity and volatility. The estimated model implies that the average annual jump risk premium is 6.75\%. The model-implied jump risk premium also has strong explanatory power for short-to-medium run aggregate market returns. Empirically, I present new estimates of the model based equity risk premia of so-called "Small-Big", "Value-Growth" and "Winners-Losers" portfolios. Further, I find that they are all time-varying and all crashed in the 2008 financial crisis. Additionally, both the jump and volatility components of equity risk premia are especially important for the "Winners-Losers" portfolio.
Dissertation
Gomes, Ana Sofia Moreira. "Can we anticipate the stock market using the put-call parity? : a study on return predictability." Master's thesis, 2019. http://hdl.handle.net/10400.14/29311.
Повний текст джерелаAtravés dos desvios da paridade entre opções de compra e de venda, investigamos a existência de informação relevante sobre o preço futuro das ações, não incorporada no mercado de ações. De forma a quantificar o mispricing entre os dois tipos de opção, calculamos spreads de volatilidade definidos como a média ponderada da diferença entre as volatilidades implícitas pela opção de compra e de venda. Os diferentes níveis de indicadores revelados definem a criação de cada portfolio de ações, o que nos permitirá avaliar o fluxo de informação entre os dois mercados. Os resultados mostram que as opções de compra, sobrevalorizadas face às de venda, compreendem mais informação sobre os retornos futuros do mercado de ações do que o inverso: o hedge portfolio obtém um retorno anormal de 31.6 pp, após quatro semanas da sua formação. Numa extensão da análise, estudamos o efeito da liquidez e da existência de trading informado no mercado de ações. Os resultados sugerem que as opções mais líquidas são as que transmitem mais informação futura. Por outro lado, a existência de trading informado apenas se torna relevante quando a sua probabilidade assume valores elevados. Por último, verificamos um aumento na previsibilidade dos retornos no período após a crise financeira, o que não revela a aprendizagem dos participantes como referido na literatura. No geral, encontramos evidência da previsibilidade dos retornos através da incorporação, no mercado de ações, de informação intrínseca aos desvios da paridade entre opções de compra e de venda.