Results 21 to 30 of about 21,387 (259)
Stock Market Volatility and Learning [PDF]
SSRN Electronic Journal, 2008 ABSTRACT We show that consumption‐based asset pricing models with time‐separable preferences generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. Rational investors with subjective beliefs about price behavior optimally learn from past price observations.
KLAUS ADAM +2 more
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Capturing the month of the year effect in the Indian stock market using GARCH models [PDF]
Vilakshan (XIMB Journal of Management)Purpose – In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors.
Pramath Nath Acharya +2 more
doaj +1 more source
An Instantaneous Market Volatility Estimation [PDF]
SSRN Electronic Journal, 2019 Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes.
Danyliv, Oleh, Bland, Bruce
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Endogenous Uncertainty and Market Volatility [PDF]
SSRN Electronic Journal, 1999 This model is based on the theory of rational beliefs and rational belief equilibrium developed in 1994, 1997 by M. Kurz. Those theories were developed with the view of studying the effects of the beliefs of economic agents on the volatility of economic variables and on social risk.
Motolese, Maurizio, Kurz, Mordecai
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Designing Organizations in Volatile Markets [PDF]
SSRN Electronic Journal, 2018 Multinational and multiproduct firms often experience uncertainty in the relative return of conducting activities in different markets due to, for example, exchange rate volatility or the changing prospects of different products. We study how a multi-divisional organization should optimally allocate decision-making authority to its managerial members ...
Liu, Shuo, Migrow, Dimitri
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Media Ekonomi dan Manajemen, 2023 This study aims to analyze the effect of oil price volatility, gold price volatility and exchange rate volatility on the dynamic relationship between Indonesian and United States capital market. The data used in this study are daily closing prices of oil,
Robiyanto Robiyanto +3 more
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Market volatility and spillover across 24 sectors in Vietnam
Cogent Economics & Finance, 2022 While market volatility and volatility connectedness across different financial markets have been examined, the spillover effects across sectors have been under-examined.
Hung Quang Bui +4 more
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The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?
Borsa Istanbul Review, 2015 The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear,
Imlak Shaikh, Puja Padhi
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Financial market reaction to R&D volatility in the pharmaceutical industry. A multi-country study
Journal of Business Economics and Management, 2022 Corporate management is often accused of short-term oriented behaviour related to R&D expenditures. This study analyses the influence of R&D volatility and R&D intensity on the market capitalization of pharmaceutical and medical research companies from ...
Marilena Mironiuc +3 more
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EXCHANGE RATE VOLATILITY AND STOCK MARKET DEVELOPMENT: AN EMPIRICAL EVIDENCE FROM NIGERIA
Malete Journal of Accounting and Finance, 2023 Recent evidence suggests that stock markets experience shift in volatility which can affect development of such markets. This study re-examines exchange rate volatility and stock market development in Nigeria using annual data from 1985-2020.
Ahmed Oluwatobi ADEKUNLE
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