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Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review

Hiremath, Gourishankar S - Volkswirtschaftliche Fakultät, … - 2009

The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...

Persistent link: https://www.econbiz.de/10011258169

Long Memory in Stock Market Volatility:Evidence from India

Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …

Persistent link: https://www.econbiz.de/10011112536

Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …

Persistent link: https://www.econbiz.de/10011114116

Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)

Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

Persistent link: https://www.econbiz.de/10011115493

Market Bubbles and Chrashes

Kaizoji, Taisei; Sornette, Didier - Volkswirtschaftliche Fakultät, … - 2008

Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of...

Persistent link: https://www.econbiz.de/10004976970

US Industry-Level Returns and Oil Prices

Fan, Qinbin; Jahan-Parvar, Mohammad R. - Volkswirtschaftliche Fakultät, … - 2009

This paper takes a closer look at the puzzle uncovered by Driesprong et al. (2008) and finds empirical support for the "oil effect" in equity returns. Using forty nine US industry-level returns series and changes in oil spot and future prices, we address whether industry-level returns are...

Persistent link: https://www.econbiz.de/10004980390

Evolution of security transaction tax in India

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2012

. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …

Persistent link: https://www.econbiz.de/10011107269

Sovereign and bank CDS spreads: two sides of the same coin?

Avino, Davide; Cotter, John - Volkswirtschaftliche Fakultät, … - 2014

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six major European economies, we find that sovereign and...

Persistent link: https://www.econbiz.de/10011107398

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10011107807

Why African Stock Markets Should Formally Harmonise and Integrate their Operations

Ntim, Collins G - Volkswirtschaftliche Fakultät, … - 2012

Despite experiencing rapid growth in their number and size, existing evidence suggests that African stock markets remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency. Therefore, this study attempts to empirically ascertain whether...

Persistent link: https://www.econbiz.de/10011108992