Showing 1 - 9 of 9
In this paper, we apply several variants of the EGARCH model to examine the role of depreciation of the Indian rupee on … of the rupee has increased volatility; and asymmetric volatility confirms that negative shocks generate more volatility …
Persistent link: https://www.econbiz.de/10004964030
In this paper, we investigate the relationship between volatility of and liquidity provision through the aggregation of high-frequency data on the stock index option markets of Taiwan. Strong evidence shows the different behaviors of liquidity supply for market makers and nonmarket makers. In...
Persistent link: https://www.econbiz.de/10010598113
Previous studies have documented the informational role of order imbalances in price discovery of the Treasury market. In this paper, we explore the liquidity dimension of order imbalances. Through our research, we find evidence which indicates that order imbalances affect Treasury market...
Persistent link: https://www.econbiz.de/10010554835
This paper investigates whether the introduction of trading by qualified foreign institutional investors (QFIIs) has impacted the lead and volatility behavior of the futures market when the macroeconomic effects and some major economic events are controlled. First, we detect that some market...
Persistent link: https://www.econbiz.de/10004977576
This paper investigates the behavior of stock returns and volatility in 10 emerging markets and compares them with those of developed markets under different measures of frequency (daily, weekly, monthly and annual) over the period January 1, 2002 to December 31, 2006. The ratios of mean return...
Persistent link: https://www.econbiz.de/10008493078
asymmetric specification of conditional mean and conditional variance models, we find the autocorrelation coefficient to be … markets respond sensitively to the US market, especially on the down side. The asymmetric effects are found to be present in …
Persistent link: https://www.econbiz.de/10005047233
Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information...
Persistent link: https://www.econbiz.de/10005050747
Previous evidence suggests that the implied volatility from equity index options, as a measure of stock market uncertainty, can provide "forward-looking information" about the stock–bond return correlation. This paper uses an alternative regime-switching autoregressive model to characterize...
Persistent link: https://www.econbiz.de/10005050748
Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique...
Persistent link: https://www.econbiz.de/10005080744