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Does market irrationality in the media affect stock returns?

Gibson, Rajna; Hemmens, Christopher; Trépanier, Mathieu - 2015

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …

Persistent link: https://www.econbiz.de/10011412095

Time-varying volatility and the power law distribution of stock returns

Warusawitharana, Missaka - 2016

few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law … nonparametric volatility show a striking correspondence to the power law coefficients estimated from returns data for stocks in the …

Persistent link: https://www.econbiz.de/10011500196

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

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

Persistent link: https://www.econbiz.de/10011471089

Ramadan effect on stock market return and trade volume : evidence from Dhaka Stock Exchange (DSE)

Hassan, Md. Hashibul; Kayser, Md. Shahidullah - In: Cogent economics & finance 7 (2019) 1, pp. 1-10

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

Persistent link: https://www.econbiz.de/10012023939

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

impact. Stock options on firms with establishments exposed to the landfall region exhibit increases in implied volatility of …

Persistent link: https://www.econbiz.de/10012181922

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

Persistent link: https://www.econbiz.de/10012203997

Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market

Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and … prospect theory. This paper also suggests IVOL opposite strategy for investors to generate significant returns by collecting …

Persistent link: https://www.econbiz.de/10012219258

Implied Volatility Duration : a measure for the timing of uncertainty resolution

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - 2020 - This version: January 27, 2020

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

Persistent link: https://www.econbiz.de/10012157194