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Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange [PDF]
SHS Web of Conferences, 2021 The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e.
Emad Azhar Ali Syed +2 more
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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RAM. Revista de Administração Mackenzie, 2021 Purpose: The purpose of this study was to analyze the effect of investor sentiment on the volatility of the Brazilian stock market. Specifically, it aimed to identify if the asymmetric behavior of sentiment could be observed in emerging markets ...
Talieh S. V. Ferreira +2 more
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The Impact of North Korea’s Nuclear Tests on Asian Stock Markets [PDF]
Eurasian Journal of Business and Economics, 2021 This study investigates the impact of North Korea’s nuclear tests on Asian stock markets. Two approaches are used separately in order to identify how stock market returns and volatilities change immediately after the nuclear tests.
Chung BAEK
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Capturing the Performance of Indonesian Sharia Stock Index (ISSI) and Composite Share Price Index (IHSG) Jakarta Period 2016-2019 [PDF]
Falah: Jurnal Ekonomi Syariah, 2020 This study aims to compare the performance of Indonesia Sharia Stock Index (ISSI) and Composite Share Price Index (IHSG) Jakarta over bullish dan bearish period 2016-2019. This research is descriptive quantitative using natural log and standard deviation
Muhammad Hanif al-Hakim
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Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
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Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time.
Moawia Alghalith +2 more
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How Does the Volatility of Volatility Depend on Volatility?
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance ...
Sigurd Emil Rømer, Rolf Poulsen
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Jurnal Keuangan dan Perbankan, 2021 This literature aims to analyze the impact of the Dollar Index and Gold Price returns and volatility on stock market volatility of India and China, viz., Shanghai Stock Exchange and Bombay Stock Exchange Sensex, during the period of Covid-19.
Joseph John Allwyn Kumar +1 more
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Firm-specific, macroeconomic factors and stock price risk for Jordanian banks [PDF]
Banks and Bank Systems, 2021 Internal (firm-specific) and external (macroeconomic) determinants of stock price fluctuations are vital for investors seeking to invest their money in a firm’s stocks.
Wasfi Al Salamat +2 more
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