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Stock Market Volatility : Friend or Foe?

Dempsey, Michael J.; Gunasekarage, Abey; Truong, Thanh - 2021

Although a good deal of research effort has been allocated to understanding the time-series volatility of stock returns … – as both market (or systematic) volatility and idiosyncratic (or non-systematic) volatility – the relationship of such … volatility with cross-sectional volatility or dispersion of outcomes is sparse. Nevertheless, the quest to understand one must …

Persistent link: https://www.econbiz.de/10013242321

A New Look at Expected Stock Returns and Volatility

Robins, Russell P.; Smith, Geoffrey Peter - 2021

We replicate French, Schwert, and Stambaugh (1987) (FSS) with up-to-date data and new tools from the modern toolbox of econometric methods. As we proceed, we highlight the main technical details and econometric methods from the original study and, when necessary, update them. While our main goal...

Persistent link: https://www.econbiz.de/10013251930

Fear and Volatility in Digital Assets

Pervaiz, Faizaan; Goh, Christopher; Pennington, Ashley; … - 2021

We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum … and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to …

Persistent link: https://www.econbiz.de/10013252244

ETF Risk Models

Kakushadze, Zura; Yu, Willie - 2021

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...

Persistent link: https://www.econbiz.de/10013213003

Dissecting Bond Volatility

Cao, Jie; Chordia, Tarun; Zhou, Linyu - 2021

This paper documents a positive cross-sectional relation between returns and lagged idiosyncratic volatility (IVOL) in …

Persistent link: https://www.econbiz.de/10013214993

Option Implied VIX, Skew and Kurtosis Term Structure Indices

Madan, Dilip B. - 2020

Comparisons are made of the CBOE skew index with those derived from parametric skews of bilateral gamma models and from the differentiation of option implied characteristic exponents. Discrepancies may be attributed to strike discretization in evaluating prices of powered returns. The remedy...

Persistent link: https://www.econbiz.de/10012828027

The Cross-Section of Individual Equity Option Returns

Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2022

This paper evaluates the underperformance of individual equity options relative to their replicating portfolios. Considering a high-dimensional set of variables, we use a machine learning approach to identify the characteristics of options and their underlying stocks that provide incremental...

Persistent link: https://www.econbiz.de/10013322614

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

Measuring risk information

Smith, Kevin; So, Eric - 2020

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Persistent link: https://www.econbiz.de/10012244502

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