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On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

Persistent link: https://www.econbiz.de/10011386466

An event study of Chinese tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan tourism market. To date, there has been...

Persistent link: https://www.econbiz.de/10011794257

Machine news and volatility : the Dow Jones Industrial Average and the TRNA sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014

This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...

Persistent link: https://www.econbiz.de/10010234615

Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...

Persistent link: https://www.econbiz.de/10011441584

How are VIX and stock index ETF related?

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016

As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10011441620

Pricing carbon emissions in China

Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - 2018

The purpose of the paper is to provide a clear mechanism for determining carbon emissions pricing in China as a guide to how carbon emissions might be mitigated to reduce fossil fuel pollution. The Chinese Government has promoted the development of clean energy, including hydroelectric power,...

Persistent link: https://www.econbiz.de/10011794247

Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable energy and crude oil ETFs are from 18 June 2008 to 20...

Persistent link: https://www.econbiz.de/10011869279

Establishing national carbon emission prices for China

Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - 2018 - Revised: March 2018

The purpose of the paper is to establish national carbon emissions prices for the People's Republic of China, which is one of the world's largest producers of carbon emissions. Several measures have been undertaken to address climate change in China, including the establishment of a carbon...

Persistent link: https://www.econbiz.de/10011813377

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010391535

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010366935

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