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Essay on Volatility Risk in Financial Markets
Xiong, Chang Min - 2022
This manuscript provides a review of how uncertainty shocks affect the stock market. Systematic uncertainty is related to lower prices, while idiosyncratic uncertainty could raises prices. However, some studies do not find a significant impact of uncertainty on prices
Persistent link: https://www.econbiz.de/10013403923
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Financial Stress and Asset Prices
Zong, Xiaoyu; He, Xuezhong - 2021
volatility and shocks the cross-section of stock returns. Due to agent's asymmetric aversion, financial stress affords positive …
Persistent link: https://www.econbiz.de/10013235055
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Mental capabilities, trading styles, and asset market bubbles : theory and experiment
Hefti, Andreas; Heinke, Steve; Schneider, Frédéric - 2016
experiment. We find that individual trading gains and patterns are consistent with our theoretical predictions. Our results …
Persistent link: https://www.econbiz.de/10011526819
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Asset Price Volatility and Investment Horizons : An Experimental Investigation
Anufriev, Mikhail - 2020
We study the effects of the investment horizon on asset price volatility using a Learning to Forecast experiment. We … investment horizons such bubbles do not emerge and price volatility tends to be lower. This is due to the fact that, for longer … relatively stable before participants start their prediction task, price volatility remains small, with prices close to their …
Persistent link: https://www.econbiz.de/10012825408
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Boom-bust cycles and asset market participation waves : momentum, value, risk and herding
Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H. - 2022
outcome that goes hand in hand with low asset market participation rates and excess volatility. …
Persistent link: https://www.econbiz.de/10013201794
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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study
Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …
Persistent link: https://www.econbiz.de/10012695346
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Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...
Persistent link: https://www.econbiz.de/10013220323
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League-Table Incentives and Price Bubbles in Experimental Asset Markets
Cheung, Stephen L. - 2011
We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked in a league table according to short-term paper returns. Those who rank highly attract...
Persistent link: https://www.econbiz.de/10013124787
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
correlated and heteroskedastic. We support our claims with an extensive simulation experiment. …
Persistent link: https://www.econbiz.de/10011598385
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Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement
Han, Bing - 2017
In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...
Persistent link: https://www.econbiz.de/10012972769