Returns And Volatility Asymmetries In Global Stock Markets PDF Download
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| 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 | : Alexander M. Ineichen |
| Publisher | : John Wiley & Sons |
| Total Pages | : 383 |
| Release | : 2011-07-12 |
| Genre | : Business & Economics |
| ISBN | : 1118160606 |
Download Asymmetric Returns Book in PDF, ePub and Kindle
In Asymmetric Returns, financial expert Alexander Ineichen elevates the critical discussion about alpha versus beta and absolute returns versus relative returns. He argues that controlling downside volatility is a key element in asset management if sustainable positive compounding of capital and financial survival are major objectives. Achieving sustainable positive absolute returns are the result of taking and managing risk wisely, that is, an active risk management process where risk is defined in absolute terms and changes in the market place are accounted for. The result of an active risk management process-when successful-is an asymmetric return profile, that is, more and higher returns on the upside and fewer and lower returns on the downside. Ineichen claims that achieving Asymmetric Returns is the future of active asset management. Alexander M. Ineichen, CFA, CAIA, is Managing Director and Senior Investment Officer for the Alternative Investment Solutions team, a key provider within Alternative and Quantitative Investments, itself a business within UBS Global Asset Management. He is also on the Board of Directors of the Chartered Alternative Investment Analyst Association (CAIAA). Ineichen is the author of the two UBS research publications In Search of Alpha—Investing in Hedge Funds (October 2000) and The Search for Alpha Continues—Do Fund of Hedge Funds Add Value? (September 2001). As of 2006 these two reports were the most often printed research papers in the documented history of UBS. He is also author of the widely popular Absolute Returns—The Risk and Opportunities of Hedge Fund Investing, also published by John Wiley & Sons.
| Author | : Abderrahim Taamouti |
| Publisher | : |
| Total Pages | : 49 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets Book in PDF, ePub and Kindle
How the correlation between equity returns behaves during market turmoils has been an issue of discussion in the international finance literature. Some research suggest an increase of correlation during volatile periods [Ang and Bekaert, 2002], while others argue its stability [Forbes and Rigobon, 2002]. In this paper, we study the impact of returns and volatility on correlation between international equity markets. Our objective is to determine if there is any asymmetry in correlation and identify the main explanation for this asymmetry. Within a framework of autoregressive models we quantify the relationship between return, volatility, and correlation using the generalized impulse response function and we test for the asymmetries in the return-correlation and volatility-correlation relationships. We also examine the implications of these asymmetric effects for the optimal international portfolio. Empirical evidence using weekly data on US, Canada, UK, and France equity indices, show that without taking into account the effect of return, there is an asymmetric impact of volatility on correlation. The volatility seems to have more impact on correlation during market upturn periods than during downturn periods. However, once we introduce the effect of return, the asymmetric impact of volatility on correlation disappears. These observations suggest that, the relation between volatility and correlation is an association rather than a causality. The strong increase in the correlation is driven by the market direction and the level of return rather than the level of the volatility. These results are confirmed using some tests of the asymmetry in volatility-correlation and return-correlation relationships in separate models and then in a joint model. Finally, we find that taking into account the asymmetric effect of return on correlation leads to an average financial gain ranged between 3.35 and 37.25 basis points for optimal international diversification.
| 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 | : Jamie Alcock |
| Publisher | : John Wiley & Sons |
| Total Pages | : 312 |
| Release | : 2018-06-05 |
| Genre | : Business & Economics |
| ISBN | : 1119289017 |
Download Asymmetric Dependence in Finance Book in PDF, ePub and Kindle
Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
| Author | : Piotr Wdowinski |
| Publisher | : |
| Total Pages | : 19 |
| Release | : 2010 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Asymmetry in Volatility Book in PDF, ePub and Kindle
| 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 | : Hersh Shefrin |
| Publisher | : Elsevier |
| Total Pages | : 636 |
| Release | : 2008-05-19 |
| Genre | : Business & Economics |
| ISBN | : 0080482244 |
Download A Behavioral Approach to Asset Pricing Book in PDF, ePub and Kindle
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
| Author | : CFA O'Toole (Randy) |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Correlation and Volatility Asymmetries in International Equity Markets Book in PDF, ePub and Kindle
The co-movement of international equity markets in different return environments is examined using estimates of realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown to be similarly elevated in periods characterized by extreme returns in both up and down markets, which contradicts a body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is much greater in down markets than in up markets. This suggests that it is not a lack of diversification that matters for comparative performance in bear markets, but rather the relative magnitude of negative returns typically experienced during such periods.
| Author | : Lorenzo Cappiello |
| Publisher | : |
| Total Pages | : 66 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns Book in PDF, ePub and Kindle
This paper investigates the presence of asymmetric conditional second moments in international equity and bond returns. The analysis is carried out through an asymmetric version of the Dynamic Conditional Correlation model of Engle (2002). Widespread evidence is found that national equity index return series show strong asymmetries in conditional volatility, while little evidence is seen that bond index returns exhibit this behaviour. However, both bonds and equities exhibit asymmetry in conditional correlation. Worldwide linkages in the dynamics of volatility and correlation are examined. It is also found that beginning in January 1999, with the introduction of the Euro, there is significant evidence of a structural break in correlation, although not in volatility. The introduction of a fixed exchange rate regime leads to near perfect correlation among bond returns within EMU countries. However, equity return correlation both within and outside the EMU also increases after January 1999.
