Results 21 to 30 of about 37,989 (306)
Will Oil Price Volatility Cause Market Panic?
Energies, 2022 It is generally known that violent oil price volatility will cause market panic; however, the extent to which is worthy of empirical test. Firstly, this paper employs the TVP-VAR model to analyze the time-varying impacts of oil price volatility on the ...
Min Hong, Xiaolei Wang, Zhenghui Li
doaj +1 more source
The Information Content in a Volatility Index for Spain [PDF]
SSRN Electronic Journal, 2008 A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market. We use a public data set of daily option prices to compute this index and show that daily changes in VIBEX-NEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common ...
Gonzalez-Perez, Maria T. +1 more
openaire +3 more sources
Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
doaj +1 more source
Effect of Index Concentration on Index Volatility and Performance
Asia-Pacific Financial Markets, 2022 The presented study investigated the effect of index concentration on component security and index variances to explore the possibility of concentration risk and its impact on index performance in different markets. The study also investigated the 1/n index with the market cap index to find possible concentration costs for the investors.
Amit Pandey, Anil Kumar Sharma
openaire +1 more source
The Volatility and Shock Transmission Patterns Between the BIST Sustainability and BIST 100 Indices
Frontiers in Applied Mathematics and Statistics, 2019 This study aims at empirically investigating the volatility and shock transmission patterns between the BIST 100 Index and the relatively new BIST Sustainability Index, which is a platform for companies with high performance on the international ...
Ender Baykut, Veysel Kula
doaj +1 more source
Presenting a new hybrid method for predicting the Stock Exchange price inde [PDF]
تحقیقات مالی, 2017 The trend of the stock price index, has taken as one of the investment criteria consistently. Because of the two components of nonlinear and time series price index volatility, in this study, a new hybrid model presented that can predict move and change ...
Diako Dorodi, Seyed Babak Abrahimi
doaj +1 more source
Realized Volatility Risk [PDF]
In this paper we document that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
core +6 more sources
Quantitative Easing Program and Financial Market Volatility in Indonesia
JEJAK: Jurnal Ekonomi dan Kebijakan, 2017 This research aims to examine the impact of the USD money supply during and before quantitative easing program towards financial market volatility in Indonesia which is proxied by variance of financial market index such as IHSG, Gold Price in IDR, and ...
T. Muhd. Redha Vahlevi, Harjum Muharam
doaj +1 more source
Financial Innovation, 2021 This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.
Jian Liu +3 more
doaj +1 more source
Studia i Materiały, 2021 The paper presents a comprehensive introduction to volatility trading, from explaining the definition of volatility, through simple strategies for getting exposure to volatility, to advanced ETN products constructed from derivatives on the VIX index. The
Iwona Sroka, Kamil Seliga
doaj +1 more source