Results 271 to 280 of about 206,316 (302)

Market dynamics and stock price volatility

The European Physical Journal B - Condensed Matter and Complex Systems, 2004
This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset ...
H. Li, J. B. Rosser
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Uncertainty and volatility in stock prices

Journal of Economics and Business, 1994
Abstract Empirical findings suggest that stock prices are overly volatile. The purpose of this study is to examine whether the observed level of stock price volatility can be explained by parameter uncertainty. Based on the simple efficient markets hypothesis, a restriction on the variance of the innovation in stock price is tested.
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Risk aversion and stock price volatility [PDF]

, 2010
Researchers on variance bounds tests of stock price volatility recognized early that risk aversion can increase the volatility of prices implied by the present-value model. This finding suggests that specifying risk neutrality may induce a bias toward rejecting the present-value model insofar as real-world investors are risk averse.
Kevin J. Lansing, Stephen F. LeRoy
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Day trading and stock price volatility

Journal of Economics and Finance, 2007
When an investor buys and sells the same stock on the same day, he is said to have made a day trade. Using the trading records of Finnish traders, this paper examines whether day trading is related to volatility of stock prices. I find a strong positive time-series relation between the number of day trades by individual investors and intraday ...
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Stock Price Models with Stochastic Volatility

2012
Stock price models with stochastic volatility have been developed in the last decades to improve the performance of the celebrated Black-Scholes model. The volatility of the stock in such a model is described by a nonnegative stochastic process. For instance, in the Hull-White model, a geometric Brownian motion plays the role of stochastic volatility ...
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The impact of oil price volatility on stock markets: Evidences from oil-importing countries

Energy Economics, 2021
Sung Y Park
exaly  

Assessing oil price volatility co-movement with stock market volatility through quantile regression approach

Resources Policy, 2023
fang Liu, Muhammad Umair
exaly  

Idiosyncratic volatility and stock price crash risk: Evidence from china

Finance Research Letters, 2022
Fenghua Wen, Yun Zhang, Zhujia Yin
exaly  

Oil price volatility forecasting: Threshold effect from stock market volatility

Technological Forecasting and Social Change, 2022
Yan Chen, Gaoxiu Qiao, Feipeng Zhang
exaly  

ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

International Journal of Environmental Research and Public Health, 2022
Rui Zhou
exaly