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Impact of the introduction of call auction on price discovery : evidence from the Indian stock market using high-frequency data
Agarwalla, Sobhesh Kumar; Jacob, Joshy; Pandey, Ajay - In: International review of financial analysis 39 (2015), pp. 167-178
Persistent link: https://www.econbiz.de/10011573174
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10003864486
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Empirical linkage between oil price and stock market returns and volatility : evidence from international developed markets
Dhaoui, Abderrazak; Khraief, Naceur - 2014
Singapore. On the volatility of returns, the changes in oil prices are significant for six markets and they have not much effect …
Persistent link: https://www.econbiz.de/10010257720
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows
Ederington, Louis H. - 2011
market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …
Persistent link: https://www.econbiz.de/10013128717
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Piety and Profits : Stock Market Anomaly During the Muslim Holy Month
Bialkowski, Jedrzej Pawel - 2011
Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher...
Persistent link: https://www.econbiz.de/10013134379
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Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries
Yang, Li - 2012
While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
Persistent link: https://www.econbiz.de/10013096494
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Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar - 2012
intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …
Persistent link: https://www.econbiz.de/10013097346
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI …-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …
Persistent link: https://www.econbiz.de/10013003892