Asymmetric Return And Volatility Responses To Composite News From Stock Markets PDF Download
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Author | : Thomas Chinan Chiang |
Publisher | : |
Total Pages | : 32 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Asymmetric Return and Volatility Responses to Composite News from Stock Markets Book in PDF, ePub and Kindle
This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading behavior. By employing a double-threshold autoregressive GARCH model to investigate four major index-return series, the study finds significant evidence to sustain the asymmetric hypothesis of stock returns. Specifically, this paper finds that negative news will cause a decline in national stock returns that is larger than the gain caused by good news of an equivalent magnitude. This also holds true for the conditional variance. The return appears to be more volatile and persistent when bad news hits the market than when good news does.
Author | : Thomas Chinan Chiang |
Publisher | : |
Total Pages | : 40 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Asymmetrical Responses to Stock Return News - Evidence from Global Markets Based on a Bayesian Model Book in PDF, ePub and Kindle
This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports the hypothesis that stock-index returns are positively correlated with a composite of stock-return news, which is obtained by a weighted average of lagged domestic and US stock-index returns. Moreover, we find that negative news will cause a larger decline in a national stock return than will an equal magnitude of good news. This also holds true for the conditional variance. The variance appears to be more volatile and persistent when bad news hits the market than when good news does.
Author | : Thomas Chinan Chiang |
Publisher | : |
Total Pages | : 35 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Returns and Volatility Asymmetries in Global Stock Markets Book in PDF, ePub and Kindle
This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports the hypothesis that stock index returns are positively correlated with a composite of stock return news, which is obtained by a weighted average of the lagged domestic and US stock index returns. Moreover, we find that negative news will cause a larger decline in a national stock return than will an equal magnitude of good news. This also holds true for the conditional variance. The variance appears to be more volatile and persistent when bad news hits the market than when good news does. Consistent with existing literature, asymmetries in stock returns are not independent of asymmetries in volatility since a larger adjustment in stock prices to bad news is likely to cause domestic investors to change the debt-equity ratio, leading to higher volatility in stock market.
Author | : Greg N. Gregoriou |
Publisher | : CRC Press |
Total Pages | : 654 |
Release | : 2009-04-08 |
Genre | : Business & Economics |
ISBN | : 1420099558 |
Download Stock Market Volatility Book in PDF, ePub and Kindle
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author | : Bhaskar Bagchi |
Publisher | : Emerald Group Publishing |
Total Pages | : 225 |
Release | : 2016-11-01 |
Genre | : Business & Economics |
ISBN | : 1786355531 |
Download Dynamic Linkages and Volatility Spillover Book in PDF, ePub and Kindle
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author | : Sloboda, Brian W. |
Publisher | : IGI Global |
Total Pages | : 264 |
Release | : 2020-06-01 |
Genre | : Business & Economics |
ISBN | : 179981095X |
Download Applied Econometric Analysis: Emerging Research and Opportunities Book in PDF, ePub and Kindle
Professionals are constantly searching for competitive solutions to help determine current and future economic tendencies. Econometrics uses statistical methods and real-world data to predict and establish specific trends within business and finance. This analytical method sustains limitless potential, but the necessary research for professionals to understand and implement this approach is lacking. Applied Econometric Analysis: Emerging Research and Opportunities explores the theoretical and practical aspects of detailed econometric theories and applications within economics, political science, public policy, business, and finance. Featuring coverage on a broad range of topics such as cointegration, machine learning, and time series analysis, this book is ideally designed for economists, policymakers, financial analysts, marketers, researchers, academicians, and graduate students seeking research on the various techniques of econometric concepts.
Author | : |
Publisher | : |
Total Pages | : 672 |
Release | : 2007 |
Genre | : International finance |
ISBN | : |
Download Multinational Finance Journal Book in PDF, ePub and Kindle
Author | : Md Abu Hasan |
Publisher | : Cambridge Scholars Publishing |
Total Pages | : 223 |
Release | : 2024-02-06 |
Genre | : Business & Economics |
ISBN | : 1527569780 |
Download Efficiency and Volatility Dynamics of Bangladesh's Stock Market Book in PDF, ePub and Kindle
This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
Author | : Nicolaas Groenewold |
Publisher | : Edward Elgar Publishing |
Total Pages | : 268 |
Release | : 2004-01-01 |
Genre | : Business & Economics |
ISBN | : 9781782541172 |
Download The Chinese Stock Market Book in PDF, ePub and Kindle
'. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.
Author | : Robin C. Sickles |
Publisher | : Springer Science & Business Media |
Total Pages | : 417 |
Release | : 2014-03-15 |
Genre | : Business & Economics |
ISBN | : 1489980083 |
Download Festschrift in Honor of Peter Schmidt Book in PDF, ePub and Kindle
From the Introduction: This volume is dedicated to the remarkable career of Professor Peter Schmidt and the role he has played in mentoring us, his PhD students. Peter’s accomplishments are legendary among his students and the profession. Each of the papers in this Festschrift is a research work executed by a former PhD student of Peter’s, from his days at the University of North Carolina at Chapel Hill to his time at Michigan State University. Most of the papers were presented at The Conference in Honor of Peter Schmidt, June 30 - July 2, 2011. The conference was largely attended by his former students and one current student, who traveled from as far as Europe and Asia to honor Peter. This was a conference to celebrate Peter’s contribution to our contributions. By “our contributions” we mean the research papers that make up this Festschrift and the countless other publications by his students represented and not represented in this volume. Peter’s students may have their families to thank for much that is positive in their lives. However, if we think about it, our professional lives would not be the same without the lessons and the approaches to decision making that we learned from Peter. We spent our days together at Peter’s conference and the months since reminded of these aspects of our personalities and life goals that were enhanced, fostered, and nurtured by the very singular experiences we have had as Peter’s students. We recognized in 2011 that it was unlikely we would all be together again to celebrate such a wonderful moment in ours and Peter’s lives and pledged then to take full advantage of it. We did then, and we are now in the form of this volume.