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The Cross-Section of Volatility and Expected Returns
Journal of Finance, 2006 We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic
Andrew Ang, Xiaoyan Zhang
exaly +2 more sources
Changes in the Distribution of Income Volatility [PDF]
arXiv, 2008 Recent research has documented a significant rise in the volatility (e.g., expected squared change) of individual incomes in the U.S. since the 1970s. Existing measures of this trend abstract from individual heterogeneity, effectively estimating an increase in average volatility.
Jensen, Shane T., Shore, Stephen H.
arxiv +8 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source