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attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10010354157
Persistent link: https://www.econbiz.de/10014429053
In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …
Persistent link: https://www.econbiz.de/10011964941
This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on …-2018. Stock price volatility is calculated in terms of "conditional" volatility and in terms of the so-called "Shiller ratio … speculation to stock price volatility. Furthermore, we show that there is an inverse causal relationship ranging from stock prices …
Persistent link: https://www.econbiz.de/10012288289
in volatility of precious metals has been reduced. The results suggest gold is the most stable of the precious metals …
Persistent link: https://www.econbiz.de/10013471164
Persistent link: https://www.econbiz.de/10013454556
The study examines the relationship between the stock market and exchange rate in South Africa for the period from 1980 to 2020. Quarterly data was used employing the Autoregressive Distributed Lag (ARDL) model given the order of integration of the variables. The empirical results revealed that...
Persistent link: https://www.econbiz.de/10013454669
We enhance the precision of predicting daily stock market price volatility using the maximum overlapping discrete …
Persistent link: https://www.econbiz.de/10014335933
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …
Persistent link: https://www.econbiz.de/10011393264