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stock market volatility derivatives

AN ANALYSIS OF STOCK MARKET VOLATILITY OF BRICS COUNTRIES

AN ANALYSIS OF STOCK MARKET VOLATILITY OF BRICS COUNTRIES

... of market value. MICEX-RTS Group, is the Russian stock and derivatives ...competitive market through improved market infrastructure efficiency, product diversity and liquidity ...

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Relationship Between Spot & Future Closing Prices With Reference To Stock & Index Futures Of Nifty 50 On NSE In India

Relationship Between Spot & Future Closing Prices With Reference To Stock & Index Futures Of Nifty 50 On NSE In India

... Financial derivatives have grossed a central place in the financial markets ...in derivatives market has surpassed the growth in other ...Indian derivatives market since its inception ...

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Futures Trading and Its Impact on Volatility of Indian Stock Market

Futures Trading and Its Impact on Volatility of Indian Stock Market

... of volatility and its spillover, the results of which are ...modeling volatility the work done by Pre-eminence of Bollerslev (1986), Engle (1982), Bollerslev and Engle (1986) is ...financial ...

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BEHAVIOUR OF STOCK MARKET VOLATILITY IN DEVELOPING COUNTRIES

BEHAVIOUR OF STOCK MARKET VOLATILITY IN DEVELOPING COUNTRIES

... markets volatility has received considerable attention from academic researchers, policy makers and practitioners during the past 25 years and since the appearance of the seminal paper of Engle ...because ...

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Does the weather affect stock market volatility?

Does the weather affect stock market volatility?

... on volatility of cloudiness, variation in nighttime hours, temperature and precipitation, ...and stock market returns has been found to depend also on stock exchange location (see, ...

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Investigating the Asymmetry in Volatility for the Iranian Stock Market

Investigating the Asymmetry in Volatility for the Iranian Stock Market

... between stock market returns and ...to stock returns are negatively correlated to volatility, with some studies illustrating that negative shocks are associated with a larger increase in ...

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Volatility Mean Reversion and Stock Market Efficiency

Volatility Mean Reversion and Stock Market Efficiency

... reversion, volatility clustering, fat tails and long ...study market efficiency through modeling one stylized facts of asset returns series ...Indian stock market is informationally ...

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Return-Volatility Interactions in the Nigerian Stock Market

Return-Volatility Interactions in the Nigerian Stock Market

... on stock market returns and monetary ...affect stock returns and their ...between stock market behavior and monetary ...of stock prices can have an impact in the real economy ...

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SYNTHETIC REVIEW: A REVIEW OF LITERATURE

SYNTHETIC REVIEW: A REVIEW OF LITERATURE

... on stock index returns and volatility ...And Market Volatility …. “By volatility public seems to mean days when large market movements, particularly down moves, ...precipitous ...

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Predictive Models for Disaggregate Stock Market Volatility

Predictive Models for Disaggregate Stock Market Volatility

... the volatility of the S&P 500 value-weighted stock ...the stock return volatility in the consumer goods (Cnsmr1) and manufacturing (Manuf1) industries, while the influences of default ...

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Can Derivative Information Predict Stock Price Jumps?

Can Derivative Information Predict Stock Price Jumps?

... of stock market jumps in the KOSPI200, we found a number of significant ...implied volatility spread between the ATM call and put options (Imvol_Spread) was significant in both HD upward and downward ...

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PRICE AND LIQUIDITY CHANGES AFTER STOCK SPLITS - EMPIRICAL EVIDENCE FROM INDIAN STOCK MARKET

PRICE AND LIQUIDITY CHANGES AFTER STOCK SPLITS - EMPIRICAL EVIDENCE FROM INDIAN STOCK MARKET

... capital market. The S&P CNX 500 represents about 92.66% of total market capitalization and about ...industries. Stock split data was taken from ...Bombay Stock Exchange (BSE) and used data ...

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Determinants of Foreign Institutional Investment in India: An Empirical Analysis

Determinants of Foreign Institutional Investment in India: An Empirical Analysis

... and stock market returns in India and found that no evidence of contrarian call is being taken by the foreign institutional investors rather they follow the positive feedback that FIIs move money into the ...

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Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach

Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach

... Huson Joher [10] considered the existence of a no linear relationship between oil price volatility and equity market uncertainty. He concludes that some sec- tors are responding quickly to ...

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Preholiday returns and volatility in the Thai stock market

Preholiday returns and volatility in the Thai stock market

... of market to stock returns by focusing on special closings besides the common ...The stock returns prior to these special closings showed above-average ...to stock exchange and ...

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Policy risk and Stock Market volatility in China

Policy risk and Stock Market volatility in China

... policy-driven stock market is that it is a market in which political calculations, policy missions and administrative interferences are more important than the dynamics of market competition ...

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A STUDY ON THE VOLATILITY AND SEASONALITY OF THE INDIAN STOCK MARKET

A STUDY ON THE VOLATILITY AND SEASONALITY OF THE INDIAN STOCK MARKET

... Indian stock market through market index S&P CNX Nifty for ...whether stock return volatility changes over time and if so, whether it is ...between market risk and expected ...

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Mexican Stock Market Index Volatility

Mexican Stock Market Index Volatility

... the market values of listed manufacturing firms at 99% confidence level during the period covered by the ...with market values during the period under ...the market and enhance their value in return; ...

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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

The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt

... the volatility of the EGX 30, EGX70, EGX 100, and the EGX 20 ...the volatility of the Egyptian Exchange indices before the revolution (Abd El Aal, 2011; Floros, 2008; Omran and Girard, ...export ...

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Mexican Stock Market Index Volatility

Mexican Stock Market Index Volatility

... of stock prices does not contain information that could be used to obtain higher yields than those obtained by a portfolio of stocks, even taken at ...efficient market in its weak form, prices follow a ...

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