Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa [PDF]
This paper attempts to assess the extent of volatility spillovers between the equity market and the foreign exchange market in South Africa. The multi-step family of GARCH models are used for this end, whereby volatility shocks obtained from the mean ...
Lumengo Bonga-Bonga, Jamela Hoveni
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VOLATILITY ANALYSIS ON ROMANIAN STOCK MARKET [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria EconomieThis paper analyzes the volatility of the Romanian stock market as well as the impact of economic crises, the psychological factors related to market volatility in Romania, the business environment and the impact of geopolitical factors on the ...
GABRIELA ANA MARIA LUPU (FILIP) +1 more
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Cogent Economics & FinanceThe volatility in the stock market plays an integral role in determining investment decisions. In emerging economies like Malaysia, this volatility in the stock market is determined by a number of monetary and fiscal factors.
Jingyang Zuo
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SOURCES OF VOLATILITY IN STOCK AND CURRENCY MARKETS: A Panel Data Analysis of European Countries [PDF]
Pakistan Journal of Applied Economics, 2020 Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for high concentration on the markets are its unexplained and unexplored sources.
Muhammad JAMIL
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Idiosyncratic volatility, stock market volatility, and expected stock returns [PDF]
We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns.
Hui Guo, Robert Savickas
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Market risk and the concept of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets [PDF]
, 1999 This paper proposes an unobserved fundamental component of volatility as a measure of risk. This concept of fundamental volatility may be more meaningful than the usual measures of volatility for market regulators.
Satchell, S. (Stephen), Hwang, Soosung
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Market Participation, Information and Volatility [PDF]
We analyze how the entry of less informed participants in a market for a risky asset affects the volatility of the price of the asset. In an endogenous participation model, we show that in equilibrium the new market entrants are less informed than the ...
Helios Herrera, Juan Dubra
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The recent behaviour of financial market volatility [PDF]
A striking feature of financial market behaviour in recent years has been the low level of price volatility over a wide range of financial assets and markets.
Fabio Panetta +8 more
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Gradualism, transparency and improved operational framework : a look at the overnight volatility transmission [PDF]
, 2007 This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in the decision-making approach, communication strategy and operational framework of a Central bank.
Silvio Colarossi +3 more
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Long Memory in the Turkish Stock Market Return and Volatility [PDF]
This paper examines the dual long memory property of the Turkish stock market. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatility.
Erdost Torun, Adnan Kasman
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