The link between volatility and correlation in international stock markets
Author : Roberto Moro Visconti
Publisher :
Page : 47 pages
File Size : 35,17 MB
Release : 1994
Category :
ISBN :
International Market Correlation and Volatility
Author : Bruno H. Solnik
Publisher :
Page : 12 pages
File Size : 10,70 MB
Release : 1996
Category :
ISBN : 9782854185713
Book Description
Extreme Correlation of International Equity Markets
Author : Francois M. Longin
Publisher :
Page : 24 pages
File Size : 18,41 MB
Release : 2017
Category :
ISBN :
Book Description
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ldquo;extreme value theoryrdquo; to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
Empirical Studies on Volatility in International Stock Markets
Author : Eugenie M.J.H. Hol
Publisher : Springer Science & Business Media
Page : 168 pages
File Size : 23,74 MB
Release : 2013-03-09
Category : Business & Economics
ISBN : 147575129X
Book Description
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
The Relationship between Stock Returns and Volatility in International Stock Markets
Author : Qi Li
Publisher :
Page : 27 pages
File Size : 48,35 MB
Release : 2005
Category :
ISBN :
Book Description
This study examines the relationship between expected stock returns and volatility in the twelve largest international stock markets during January 1980 - December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in six out of the twelve markets under study. The results lend support to the recent claim (Bekaert and Wu, 2000; Whitelaw, 2000) that stock market returns are negatively correlated with stock market volatility.
International Market Correlation and Volatility
Author : Bruno H. Solnik
Publisher :
Page : pages
File Size : 11,88 MB
Release : 2000
Category :
ISBN :
Book Description
Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge
Author : Tony Klein
Publisher : World Scientific
Page : 508 pages
File Size : 27,74 MB
Release : 2022-06-07
Category : Business & Economics
ISBN : 1800611927
Book Description
Modern Finance and Risk Management is dedicated to our colleague, academic mentor, and adviser Professor Hermann Locarek-Junge. During his academic career, Hermann Locarek-Junge published several important contributions to the field of risk management and portfolio management and served as the chairman and board member of the German Finance Association (DGF) and the Data Science Society (Gesellschaft für Klassifikation).A short foreword by the mentors of Hermann Locarek-Junge and an introduction by the editors mark the beginning of the Festschrift. The first section on Modern Finance includes chapters on asset management, entrepreneurship, and behavioural finance. The second section on Modern Risk Management contains seven contributions covering considerations of risk measurement, risk management, and regulation. Finally, the third section includes topics on commodities and energy finance.This Festschrift comprises 20 original contributions of notable scholars in finance who have worked with Hermann Locarek-Junge over the last four decades. Due to numerous connections to practice and applications, Modern Finance and Risk Management is relevant and attractive not only to academics and researchers but also to practitioners in industry and banking.
Stock Market Volatility and Corporate Investment
Author : Zuliu Hu
Publisher : International Monetary Fund
Page : 26 pages
File Size : 26,4 MB
Release : 1995-10-01
Category : Business & Economics
ISBN : 1451852584
Book Description
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Relationship Between Volatility and International Listing
Author : Aarni Pursiainen
Publisher :
Page : 34 pages
File Size : 47,93 MB
Release : 1997
Category : Risk
ISBN : 9789515555205
Book Description
Comovements in International Stock Markets
Author : Claudio Morana
Publisher :
Page : pages
File Size : 43,27 MB
Release : 2013
Category :
ISBN :
Book Description
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatility and correlation. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market.
