Return volatility
Impact of International Cross Listing and Delisting on Return Volatility
... price volatility compared to a stock trading at high price, thus we argue that it might be better to look at return volatility or log return volatility, in order to perform quanti- ...
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The Return–Volatility Relation in Commodity Futures Markets
... the return-volatility relation but also provides a justification of the results, by using long-established theories and hypotheses such as the volatility feedback effect, the safe haven property and ...
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Return-Volatility Interactions in the Nigerian Stock Market
... asset‟s return to a particular risk ...expected return and the risk-free interest rate (Mishkin and Eakins, ...market volatility and economic ...by volatility in macroeconomic variables which ...
12
Asymmetric Impact of Informed Trading Activity on Stock Return Volatility
... and return volatility; this finding is consistent with one of Avramov et ...stock volatility provides important reference for research in investment theory and volatility ...
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Absolute Return Volatility
... both volatility series have unconditional distributions that are fat- tailed and in figure 2 both conditional volatility series vary across time and volatility clusters are clearly evident for the ...
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Leverage, return, volatility and contagion: Evidence from the portfolio framework
... the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market ...the volatility of prices and ...the return and volatility in relation to ...
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Seasonality of Cross sectional Return Volatility in the Jordan Stock Market
... between volatility and institutional ownership based on the firm’s dividends policy particularly around the dividend declaration ...low volatility, and low price ...
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Modelling Stock Return Volatility in India
... asymmetric volatility and symmetric relationship between of negative and positive shocks or innovations in the BSE ...conditional volatility than the positive shocks or good news, which shows that the ...
21
Bayesian analysis of chaos: The joint return volatility dynamical system
... In this context, tests for chaos using artificial neural networks (ANN) have gained considerable popularity, recently (BenSaïda, 2014, BenSaïda and Latimi, 2013). In financial time series, however, it is not su ffi cient ...
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The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market
... the volatility series is positively skewed, indicating a right tail of distribution, which shows ...for return and volume, which has led the returns to be asymmetric and non-normal and it can be verified ...
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The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
... market volatility concerning emerging markets has been fewer in number than that of developed ...the volatility characteristics in the daily closing prices of the Karachi Stock Price Index, KSE-100, from ...
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Volatility and return forecasting:time series and options based methods
... forecasting volatility is of critical importance for asset and derivative pricing, asset allocation and risk ...of volatility estimation, and term this measure the realized variance ...stochastic ...
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THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA
... the volatility of stock returns, to identify the asymmetric effect, and also to explore the transmission of seven foreign stock return volatilities in Indonesia over the period of 1990-2016 (on daily ...
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Modeling corn returnsvolatility with seasonal shifts
... corn return volatility for both systematic and idiosyncratic ...idiosyncratic volatility appears more volatile than the systematic ...corn return volatility series are leptokurtic (both ...
7
The optimal use of return predictability : an empirical study
... To investigate whether the potential gains from predictability can be real- ized in practice, we construct several dynamically efficient portfolio strategies and assess their ex post performance, both in and out of ...
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Testing the Long Memory Features in Return and Volatility of NSE Index
... and volatility are from diverse regions of the world like Ger- many, Malaysia ...and volatility exhibit long memory in national stock exchange (NSE) price indices over the period from 2006-06-29 to ...
10
On the Bank Stocks Return and Volatility: Tale of a South Asian Economy
... stock return volatility and exchange rates by using daily closing prices of stock market indices for three European countries, including CAC40 index (France), the DAX index (Germany) and the FTSE100 index ...
14
Market risk and the concept of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets
... index return volatility as a volatility ...the volatility of changes in the risk-free rate and the dividend ...implied volatility can be regarded as an ex ante averaged ...
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The impact of momentum trades on return comovements and asymmetric volatility in dual listings
... excess return volatility relations for a comprehensive set of dually listed securities from multiple developed and emerging ...in return and the relation between excess return and ...in ...
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Cross sectional return dispersion and volatility prediction
... monthly return volatility specification, ...high return dispersion predicts a high future market volatility and vice ...stock return dispersion and future market-level ...
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