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The Egyptian Stock Market : Efficiency Tests and Volatility Effects

Mecagni, Mauro; Sourial, Maged S. - 2021

The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant...

Persistent link: https://www.econbiz.de/10013317713

IPO Initial Returns and Volatility : A Study in an Emerging Market

Wei Leong, Mike Siew - 2016

This study examines the impact of firm characteristics, signaling variables and financial variables on IPO initial returns and the volatility of initial returns. Hierarchical regression is first performed on all the three blocks of variables, after which a stepwise regression is executed to...

Persistent link: https://www.econbiz.de/10013003760

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long … term underperformance effects, which states that the IPO underpricing and long term underperformance can be explained by …

Persistent link: https://www.econbiz.de/10013026463

The spectre of terrorism and the stock market

Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022

Terrorism is a major issue in the 21st century. In this paper we examine the effect of terrorism on the stock market. We go beyond previous studies to explore the spectre of terrorism on the market rather than terrorist activities. Using a narrative-based approach à la Shiller (2019), we find...

Persistent link: https://www.econbiz.de/10013428887

Impact of Volatility and Performance of Major Stock Markets on Sarajevo Stock Exchange in 2008-2012 Period

Dzanic, Enis - 2016

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses weekly composite index data for SASE (Sarajevo Stock...

Persistent link: https://www.econbiz.de/10013001008

Idiosyncratic Risk Matters to Large Stocks!

Luo, Yangqiulu - 2016

Despite the debate on the pricing of idiosyncratic risk, it is generally believed that the pricing effect is likely to exist among small stocks due to lack of diversification and information asymmetry predicted by Merton (1987). However, given the size of Asset Under Management, most...

Persistent link: https://www.econbiz.de/10013001351

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, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

Persistent link: https://www.econbiz.de/10013003892

Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation

Stivers, Chris T. - 2015

The authors study time-variation in the co-movements between daily stock and Treasury bond returns over 1986 to 2000. Their innovation is to examine whether variation in stock-bond return dynamics can be linked to non-return-based measures of stock market uncertainty, specifically the implied...

Persistent link: https://www.econbiz.de/10013032667

Stock Market Volatility and Equity Returns : Evidence from a Two-State Markov-Switching Model with Regressors

Xinyi, Liu - 2015

This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...

Persistent link: https://www.econbiz.de/10013034502

Why are U.S. Stocks More Volatile?

Bartram, Söhnke M. - 2019

U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is...

Persistent link: https://www.econbiz.de/10012905361