volatility in stock returns
An Application of GARCH while investigating volatility in stock returns of the World
... of volatility in stock returns due to variation in interest rates and exchange rates of various countries such as Pakistan, India, Hong Kong, Japan, Spain, Germany, UK and ...shown volatility ...
12
Modelling Stock Returns Volatility In Nigeria Using GARCH Models
... 3.2 Methodology To capture stock returns volatility clustering, leptokurtosis and leverage effects on the NSE return series, the GARCH 1, 1, and the GJR-GARCH 1,1 models were used.. The [r] ...
18
Oil Price Shocks and Volatility in Australian Stock Returns
... and volatility in the sectors of Australian stock market and finds significant effects for most ...return volatility significantly reduces ...sector returns rather than a general index of ...
30
Time series analysis of interest rates volatility and stock returns in Ghana
... the stock market is not particularly indifferent to the economic environment and researchers and the investor community have been keen on ascertaining the influences of economic factors on stock prices and ...
23
Exposure to Common Idiosyncratic Volatility on Stock Returns in ASEAN Stock Markets
... idiosyncratic volatility and stock returns mostly focuses on developed markets; however, studies of emerging markets are still not often seen in the ...idiosyncratic volatility in developed ...
18
Crisis Effect On The Relationship Between Stock Returns And Volatility In Iran
... the stock market price, ε t stands for a Gaussian innovation with zero mean and a time-varying conditional variance σ t 2 ...the stock returns and ...higher returns for bearing higher levels ...
9
The impact of short selling on stock returns and volatility: Evidence from the Dutch stock market
... the volatility of returns of common ...its stock. The volatility of stock returns will increase because the stockholders still bear most of the risk of the assets, but the value ...
75
A Regression Based Approach to Capturing the Level Dependence in the Volatility of Stock Returns
... major stock indices, namely: NIFTY (India), S&P500 (USA), FTSE100 (UK) and DAX (Germany) for the same sample period ranging from 1st January 1996 to 30th March ...major stock indices we had looked at, ...
13
Badla Financing, Stock Returns and Volatility: The Case Study of Karachi Stock Exchange
... of stock price volatility has many practical applications, there is an increasing interest in modelling the volatilities of stock ...future returns and risk of various assets. Analogously, the ...
9
Effect of Volatility Transmission on Domestic Stock Returns: Evidence from Nigeria
... price volatility and S&P 500 returns on stock returns in ...increases stock market ...domestic stock returns are vulnerably exposed to volatility from ...
31
Weather effects on stock returns and volatility in South Asian markets
... between stock market returns and current weather ...York Stock Exchange (NYSE), first found by Saunders (1993), was immediately noticed by the Wall ...the stock market will rise or ...
26
Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey
... the stock price of the BIST-100 index, which is the Turkish stock price indicator (SPI), is used for the January-December 2018 period and the return series is ...
7
Volatility modeling and the nigerian stock return relationship in egarch –in –mean framework
... of stock returns and ...expected stock market return and ...York Stock Exchange to find negative relationship between expected stock market return and ...asymmetric volatility in ...
10
Implied Idiosyncratic Volatility and Stock Return Predictability
... idiosyncratic volatility on firms realized returns, size has a negative effect on stock returns whereas B/M ratio has a positive ...future stock returns and idiosyncratic ...
16
An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese Stock Market
... expected returns on US stocks using the non-financial stocks traded in the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), and NASDAQ during the 1963 – 1990 ...expected returns ...
221
MODELLING DHAKA STOCK EXCHANGE RETURNS VOLATILITY
... varying volatility has become the most interesting area to the financial ...Since volatility is the main input to all financial decision making mechanism, therefore, accuracy of modelling volatility ...
11
Stock market volatility using GARCH models: Evidence from South Africa and China stock markets
... While volatility in developed stock markets has been comprehensively researched, little has been done in terms of volatility in developing stock ...average returns, returns that ...
12
Long Memory and Stock Market Efficiency: Case of Saudi Arabia
... absolute returns series in the Italian stock ...squared returns series of Brazilian market among the period 1997- ...compare stock returns of developed countries to less mature ones ...
6
Preholiday returns and volatility in the Thai stock market
... Thai stock market, the regression analysis with dummy variables technique is ...of returns between preholiday and non-preholiday ...varying volatility which is common in stock market ...of ...
14
Analysing correlation between the MSE index and global stock markets
... major stock exchange, with the market capitalisation of the whole exchange comparable in size to that of a large company listed on an international stock ...Malta’s stock exchange might change, the ...
20