Stock Return Volatility
Asymmetric Impact of Informed Trading Activity on Stock Return Volatility
... This paper incorporates the above discussions and argues that informed trading activity should have an asymmetric impact on stock return volatility across stocks with different levels of private ...
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Modelling Stock Return Volatility in India
... emerging stock markets like India with other world major stock markets, there is leverage effect which is present in the Indian stock market indicates that negative shocks have greater impacts on the ...
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Volatility modeling and the nigerian stock return relationship in egarch –in –mean framework
... in stock return volatility in these ...the stock market volatility of the emerging ...of stock prices following the opening of a stock market to foreigners or large ...
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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 ...and stock return ...the ...
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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
... on stock 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 ...
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DCC and Analysis of the Exchange Rate and the Stock Market Returns’ Volatility: An Evidence Study of Thailand Country
... Thailand’s stock index return and exchange rate volatility rate by the DCC and the bivariate IGARCH (1, 1) model with a factor of Japan’s stock ...Thailand’s stock market return ...
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Oil Price Shocks and Volatility in Australian Stock Returns
... on return and volatility in the sectors of Australian stock market and finds significant effects for most ...price return significantly reduces return, and an increase in oil price ...
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Analysis of asymmetry in the price volume relation: evidence from Pakistani stock market
... between stock returns and trading volume and the level of association of information asymmetry with stock return volatility and volume relationship of Pakistan at market level and firm level ...
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Predictive Models for Disaggregate Stock Market Volatility
... of stock return volatility have long been studied over the past two decades (Campbell, Lettau, Malkiel and Xu, 2001; Sohn, ...on stock return volatility, others find such ...
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FINANCIAL LIBERALIZATION AND KUWAITI STOCK MARKET BEHAVIOUR
... emerging stock markets and its impacts on market volatility have attracted growing attention from academics and policymakers during the last few ...the volatility and increase the risks in the ...
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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, ...the stock market volatility and economic ...that stock prices are ...
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Threshold Model of Gold and Oil Price Volatility in Southeast Asia Two Stock Markets: Empirical Study of Thailand and Malaysian Countries
... the return rate volatility of the Thailand and the Malaysian stock markets, and the gold price and the oil price markets do have the high correlations for the Thailand and the Malaysian stock ...
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Evaluation in Dynamic Process Spillover Effect: Eleven Major Exchange Rate Markets
... of return and volatility among USD and several currencies, especially for ...the return and volatility indices are found spilling from ten currencies to ...
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The Day �of� The� Week Effect in the Colombia Stock Exchange
... expected stock returns and ...monthly volatility and reported that unexpected stock market returns are negatively related to the unexpected changes in ...in volatility across days of the ...
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Essays on volatility forecasting
... the volatility forecasting literature, is determining the optimal in-sample period for producing out of sample ...a volatility forecasting exercise to address this ...
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WAVELET ANALYSIS OF STOCK RETURN ENERGY DECOMPOSITION AND RETURN COMOVEMENT – A CASE OF SOME CENTRAL EUROPEAN AND DEVELOPED EUROPEAN STOCK MARKETS
... CEE stock markets (Slovenia, the Czech Republic and Hungary) with developed European stock markets (Austria, France, Germany and United Kingdom), we apply methodology of ...between stock markets ...
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Option Trading, Information Asymmetry and Firm Innovativeness: Evidence from Stock Options Trading Firms from India
... and return on assets are not statistically ...and return on asset which have statistically signifi- cant coefficient for R & D input, have insignificant coefficients for R & D ...
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The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach
... ISE volatility increases throughout the ...internal volatility dynamics within the final stages of ISE 100 Index afternoon ...of volatility has signaled an upside pattern considerably under the ...
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Incentive compensation vs. SOX : evidence from corporate acquisition decisions
... ExecuComp, stock price data from CRSP and accounting data from ...acquirer’s stock return between 6 months following the effective date (+1 to +126 days) and 6 months preceding the effective date (- ...
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Long Memory Property In Return and Volatility: Evidence from the Indian Stock Markets
... component in the conditional variance process. The long run memory parameter d is statistically significant in the Indian stock markets implying prevalent of long memory in volatility. Comparing the degree ...
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