Results 61 to 70 of about 178,821,162 (156)

Market volatility and skewness risks in China

International Review of Economics & Finance
We examine the pricing of the risk-neutral market volatility and skewness risks in the cross-section of stocks in China. We find that stocks with high exposures to innovations in volatility or skewness exhibit low expected returns.
Fang Zhen
doaj   +1 more source

Modelling stock market volatility : bridging the gap to continuous time /

, 1996
This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications.
Rossi, Peter E.(Peter Eric),
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PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA

Jurnal Manajemen, 2017
There were some contradictory between the impacts of futures contract to the volatility of underlying asset. In the one side, some researches concluded that futures transaction affect to underlying asset volatility, but in the other side said the future ...
Sukmawati Sukamulja, Sony Fidanti
doaj   +1 more source

Iran's Exchange Market in Five Episodes: Bayesian Estimation of Systematic Risk with MCMC Method [PDF]

Mathematics and Modeling in Finance
This paper estimates systematic risk in Iran’s foreign exchange market using a stochastic volatility model, analyzing five distinct episodes shaped by varying economic and political conditions. By tracing the evolution of volatility dynamics across these
Amir Mohsen Moradi, Mohsen Mehrara, Mahdieh Tahmasebi   +2 more
doaj   +1 more source

Report of the Committee Appointed by the Attorney-General of the Commonwealth to Review the Bankruptcy Law of the Comonwealth.

, 1962
"14 December, 1962."; At head of title: The Parliament of the Commonwealth of Australia. 1965-1965.; Chairman: Sir T.Clyne.; Electronic reproduction. Canberra, A.C.T.
Australia. Committee Appointed by the Attorney-General of the Commonwealth to Review the Bankruptcy Law of the Commonwealth.
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Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L [PDF]

In this paper we test whether the dynamic behavior of stock market volatility in six emerging economies has changed over the period 1976:01-2004:12. This period corresponds to years of profound development of both the financial and the productive sides ...
Javier Gómez Biscarri, Juncal Cuñado, Fernando Perez de Gracia   +2 more
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Role of the Futures Market on Volatility and Price Discovery of the Spot Market: Evidence from Pakistan’s Stock Market

Lahore Journal of Economics
This paper focuses on the role of the financial futures market in the volatility of Pakistan’s stock market and determines whether the stock futures price is capable of providing some relevant information for predicting the spot price.
Safi Ullah Khan
doaj  

MACROECONOMIC DETERMINANTS AND STOCK MARKET VOLATILITY ADMIST THE PERIOD OF ECONOMIC RECESSION IN NIGERIA

Gusau Journal of Accounting and Finance
The goal of liberalizing the Nigerian stock market was to improve its performance and increase market efficiency. Nonetheless, it appears that the onset of Nigeria's 2016 economic downturn has skewed the degree to which these macroeconomic factors ...
Hauwa Bayero TIJJANI, Prof Sheikh Ahmad Abdullahi , Dr Ibrahim Mohammed , Dr Isma’il Tijjani Idris   +3 more
doaj   +1 more source

Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?

, 2020
We study the potential merits of using trading and non-trading period market volatilities to model and forecast the stock volatility over the next one to 22 days.
Lyocsa, Stefan, Todorova, Neda
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Stock Market Volatility: Examining North America, Europe and Asia [PDF]

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable
Lakshmi Bala, Gamini Premaratne
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