Results 251 to 260 of about 206,316 (302)

Stock splits and implied stock price volatility

The Journal of Portfolio Management, 1986
T his study addresses the issue of stock splits, their effect on the volatility of stock prices, and the prospect of using this change in volatility to make trading profits in the market. We ask the questions: Do option prices following a stock split reflect higher stock volatilities?
Dan W. French, David A. Dubofsky
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Is Stock Price Volatility Increasing?

Financial Analysts Journal, 1989
(1989). Is Stock Price Volatility Increasing? Financial Analysts Journal: Vol. 45, No. 6, pp. 20-26.
Charles P. Jones, Jack W. Wilson
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Volatility and stock price indexes

Applied Economics, 2013
The stochastic approach to index numbers has been successfully applied to the estimation of inflation, the world interest rate and international competitiveness. One distinct advantage of this approach is that it provides the whole distribution of the index, not simply one value. In this article, we extend the stochastic approach to the estimation of a
Kenneth W. Clements, H. Y. Izan, Yihui Lan   +2 more
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Price volatility of Indonesian stocks

Pacific-Basin Finance Journal, 1995
Abstract The first-order serial dependence between overnight returns and following daytime returns and between overnight returns and preceding daytime returns is evaluated to gain insight into the intraday volatility behavior of Indonesian stocks. The pattern of price reversals and price continuations observed for Indonesian stocks is different from ...
Rosita P. Chang, S. Ghon Rhee, Susatio Soedigno   +2 more
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Accentuated Intraday Stock Price Volatility

2010
For a simple reason, intra-day volatility is important not only to traders with very short holding periods, but to longer term investors as well: volatility in brief time intervals is a manifestation of the efficiency with which prices are set, and inefficient pricing can lead to unduly high execution costs for the short -run trader and the longer-run ...
Deniz Ozenbas, Michael S. Pagano, Robert A. Schwartz   +2 more
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The Volatility of Stock Market Prices

Science, 1987
If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are ...
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Estimating the Volatility of Discrete Stock Prices

The Journal of Finance, 1988
ABSTRACTThis paper introduces an estimator of stock price volatility that eliminates, at least asymptotically, the biases that are caused by the discreteness of observed stock prices. Assuming that the observed stock prices are continuously monitored, an estimator is constructed using the notion of how quickly the price changes rather than how much the
Cho, David Chinhyung, Frees, Edward W
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Futures-Trading Activity and Stock Price Volatility

The Journal of Finance, 1992
The authors examine whether greater futures-trading activity (volume and open interest) is associated with greater equity volatility. They partition each trading activity series into expected and unexpected components, and document that while equity volatility covaries positively with unexpected futures-trading volume, it is negatively related to ...
Bessembinder, Hendrik, Seguin, Paul J
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Explaining Stock Price Volatility with Terminal ValueEstimates

The Journal of Private Equity, 2011
Stock price volatility has become more extreme and, as a consequence, investor’s portfolios have grown more risky and many investors have given up on the stock market. Undoubtedly, geopolitical turmoil and natural disasters played a major role in heightening the volatility of equities.
Harlan Platt, Marjorie Platt, Sebahattin Demirkan   +2 more
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Do price limits help control stock price volatility?

Annals of Operations Research, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Seza Danışoğlu, Z. Nuray Güner
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