Showing 1 - 10 of 42
Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in … large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show …
Persistent link: https://www.econbiz.de/10011115661
Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …
Persistent link: https://www.econbiz.de/10011075125
This paper investigates the effects of stock market wealth on consumer spending. Traditional macroeconometric models estimate that a dollar's increase in stock market wealth boosts consumer spending by 3-7 cents per year. With the substantial 1990s rise in stock prices, the nature and magnitude...
Persistent link: https://www.econbiz.de/10005513025
Persistent link: https://www.econbiz.de/10005513082
(WLS) and generalized autoregressive conditional heteroskedasticity (GARCH) estimators of the difference in expected excess …. Across the different WLS and GARCH estimates we find that the point estimates are considerably smaller than the OLS estimates … and fluctuate considerably across different sub samples. We show that the large difference between the WLS, GARCH and OLS …
Persistent link: https://www.econbiz.de/10005513111
Persistent link: https://www.econbiz.de/10005514181
Persistent link: https://www.econbiz.de/10005514182
relationship between the stock markets of Korea, Japan, and the United States. We estimate GARCH models to quantify the importance … of "volatility spillovers" from Japan and the U.S. on the mean and variance of Korean returns. Such spillovers have …
Persistent link: https://www.econbiz.de/10005372543
We aim to provide insight into the observed equity home bias phenomenon by analyzing the determinants of U.S. holdings of equities across a wide range of countries. In particular, we explore the role of information costs in determining the country distribution of U.S. investors' equity holdings...
Persistent link: https://www.econbiz.de/10005372618
Persistent link: https://www.econbiz.de/10005393659