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into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …
Persistent link: https://www.econbiz.de/10009475524
conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …
Persistent link: https://www.econbiz.de/10009437450
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …
Persistent link: https://www.econbiz.de/10009446192
facilities to transfer money back to their family in Bangladesh. In June 2007, the company went into liquidation owing nearly 2 … million pounds to the public, the majority of whom were from the Sylhet region of Bangladesh. …
Persistent link: https://www.econbiz.de/10009468665
In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...
Persistent link: https://www.econbiz.de/10009471789
The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...
Persistent link: https://www.econbiz.de/10009471788
This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … for each market. The purpose of this study is three-fold. First, a univariate GARCH methodology is utilized to examine the … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of …
Persistent link: https://www.econbiz.de/10009429052
valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … simple adaptation to the GARCH model to make the model aware of news. We propose that the content of news is important and … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …
Persistent link: https://www.econbiz.de/10009437639
The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...
Persistent link: https://www.econbiz.de/10009437733