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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …
Persistent link: https://www.econbiz.de/10012309325
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On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
show that the volatility of the survivor stocks portfolio is less exposed to tail risks and responds less to shocks in the …
Persistent link: https://www.econbiz.de/10012888297
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The optimal spending rate versus the expected real return of a sovereign wealth fund
Aase, Knut K.; Bjerksund, Petter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-35
We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...
Persistent link: https://www.econbiz.de/10012628390
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Arbitrage free approximations to candidate volatility surface quotations
Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21
difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …
Persistent link: https://www.econbiz.de/10012022144
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Volatility spillover dynamics between large-, mid-, and small-cap stocks in the time-frequency domain : implications for portfolio management
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-22
variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system …, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the …
Persistent link: https://www.econbiz.de/10012795342
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Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and...
Persistent link: https://www.econbiz.de/10012798918
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Pricing product options and using them to complete markets for functions of two underlying asset prices
Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19
Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...
Persistent link: https://www.econbiz.de/10012626539
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063
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Better not forget : on the memory of S&P 500 survivor stock companies
Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-16
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...
Persistent link: https://www.econbiz.de/10014305602