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Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

Persistent link: https://www.econbiz.de/10012999962

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Persistent link: https://www.econbiz.de/10012935742

Market Volatility, Liquidity Shocks, and Stock Returns : Worldwide Evidence

Ma, Rui - 2018

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

Persistent link: https://www.econbiz.de/10012932170

Market Volatility Risk and Stock Returns around the World : Implications for Multinational Corporations

Liang, Samuel Xin - 2020

We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic … risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust … across 21 developed markets and that the global market volatility risk factor prices 21 developed market portfolios after …

Persistent link: https://www.econbiz.de/10012857113

Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India

Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

Persistent link: https://www.econbiz.de/10014500716

Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets

Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17

In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...

Persistent link: https://www.econbiz.de/10011474619

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies : A Wavelet-Based Analysis

Liu, Jingzhen - 2017

The relationship between oil and stock is important because oil is the key production input for most industries and stock market performance, to some extent, reflects the economic conditions. However, the relationship between oil price and stock prices of oil and gas industry companies is more...

Persistent link: https://www.econbiz.de/10012952899

Implied Volatility Spreads and Expected Market Returns

Atilgan, Yigit - 2015

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the … takes extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility …

Persistent link: https://www.econbiz.de/10013038211

Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

Cremers, Martijn - 2014

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing … investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility … volatility risk have low expected returns. Both can be measured separately and are important economically, with a two …

Persistent link: https://www.econbiz.de/10013070232

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977