
Stock market volatility
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The main objective of this study is to determine the macro-factors affect Vietnam stock market from 2006 to 2017. By using qualitative research methods such as the statistics, description techniques, the study analyzes the volatility of the stock market in Vietnam during that period.
10p
visherylsandberg
18-05-2022
4
1
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The present study empirically examines the impact of Stock Futures on India’s underlying Energy Sector Stocks by incorporating the Structural breaks in the AR (1)-GARCH (1, 1) model. Although the issues relating to the effect of Derivatives trading on Cash Market Volatility have been empirically discussed in two ways: by evaluating Cash Market Volatilities during the Pre-and Post-Derivatives trading periods and, secondly, by determining the influence of Derivatives trading on the conduct of Cash Markets by comparing it with proxies.
10p
mynguyenha
21-07-2021
8
0
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In this study, the VAR-GARCH model introduced by Ling and McAleer (2003) was used to determine the interaction between oil prices and stock markets in terms of return and volatility for developing countries (BRICS-T). The reason for choosing this model is to reveal whether the shocks and volatility in these markets have a transitional effect.
6p
mynguyenha
21-07-2021
14
0
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This study aims to investigate the interactions, volatility spillovers and smooth transition effects between stock and foreign exchange markets in emerging versus developed countries by the Smooth Transition Vector Error Correction-Smooth Transition GARCH with Dynamic Conditional Correlation model (STVESTGARCH-DCC). The empirical results yield several findings. Firstly, boom stock markets in emerging countries will trigger their domestic currency appreciation, while prosperous stock markets in developed countries result in currency depreciation.
33p
nguaconbaynhay12
08-06-2021
17
0
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While different streams of literature exist investigating the relationship and the conditional correlation between oil import prices, oil returns volatility and stock market returns volatility. The period of the study runs from July 1997 until July 2017 with a monthly data. The objectives of the present paper are the following to investigate the order of the mean equation, the order (p,q) of the conditional variance and the order (r,s) of the Diag-BEKK model.
17p
caygaocaolon11
18-04-2021
14
0
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"Ebook A mathematician plays the stock market" presnet anticipating others' anticipations; fear, greed, and cognitive illusions; trends, crowds, and waves; chance and efficient markets; value investing and fundamental analysis; options, risk, and volatility; diversifying stock portfolios; connectedness and chaotic price movements
225p
sachcongnghesinhhoc
14-03-2021
14
0
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This paper combines these two issues in the same analysis. Data on the daily closing index of six ASEAN stock markets, including Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam are used to calculate Shannon entropy to measure the stock market information efficiency. In addition, this paper conducts the Granger causality test to reveal the relationships between the ASEAN stock markets.
14p
cothumenhmong9
04-01-2021
19
0
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The remainder of the paper is organized as follows. A literature review on the study of return and volatility spillover across markets is presented in the next section. Section Methodology gives details about the financial model for estimating volatility transmissions and spillover effects and as well as estimation procedure. Research data and the descriptive statistics are provided in Section Data. The empirical results are given in Section Empirical Results and finally, in the last chapter, the paper closes with concluding comments.
11p
trinhthamhodang9
04-12-2020
7
0
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In this paper, employ asymmetric multivariate GARCH approaches to examine their performance on the volatility interactions between global crude oil prices and seven major stock market indices. Insofar as volatility spillover across these markets is a crucial element for portfolio diversification and risk management, we also examine the optimal weights and hedge ratios for oil-stock portfolio holdings with respect to the results.
19p
nguyenxuankha_bevandan
13-08-2020
23
0
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The study explores the correlation between the immediate and the longer-term stock returns following analyst recommendation revisions.
16p
nguyenanhtuan_qb
09-07-2020
15
0
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The Chinese stock market is unique in which it is moved more by individual retail investors than institutional investors. Therefore, for economic and political stability it is more important to efficiently manage the risk of the Chinese stock market. We investigate its volatility dynamics through the GARCH model with three types of heavy-tailed distributions, the Student’s t, the NIG and the NRIG distributions.
7p
nguyenanhtuan_qb
09-07-2020
11
0
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This paper explain the stock market volatility at the individual script level and at the aggregate stock price level. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model.
5p
murielnguyen
29-06-2020
22
0
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The main purpose of this study is to examine the volatility of the Indian stock markets mainly in BSE several statistical tests have been applied in order to study the Stock Volatility in Top Industries listed in BSE between October 2011 to June 2014.
14p
murielnguyen
29-06-2020
14
0
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The results also report the absence of leverage effect in Nigeria. The policy considerations are the government, policymakers, and financial regulators, supervisors, and investors must embrace macroeconomic and non-macroeconomic factors of political instability, insecurity among others into policy formulation and implementation along with portfolio.
14p
cleopatrahuynh
01-06-2020
16
1
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Result shows that volatility of Malaysian stock market index increases in the post-announcement than in the pre-announcement of the GST which indicates that educative programs employed by the government before the GST announcement did not yield meaningful result. The volatility of the Malaysian stock market index is persistent during the GST announcement and highly persistent after the implementation. Noticeable increase in post-announcement is in support with the expectation of the market about GST policy in Malaysia.
17p
nguathienthan5
03-06-2020
35
1
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The results indicate a strong correlation between GSV and trading volume – a traditional measure of attention – proving the new measure’s reliability. In addition, market-wide attention increases both stock illiquidity and volatility, whereas company-level attention shows mixed results, driving illiquidity and volatility in both directions.
22p
caygaocaolon5
19-05-2020
21
0
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This aim of research is to prove that the loan-loss provision and fair value accounting influence the earnings volatility and the accrual management role in moderating the effect of fair value accounting to earnings volatility. Data were obtained from the annual report of the Directory of Indonesia Capital Market and the Stock Exchange of Indonesia Website.
8p
tociitocii
24-04-2020
16
0
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The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the robustness of recent empirical findings and to remedy some methodological shortcomings of earlier studies. Acknowledging their practical relevance, we focus on futures and examine the volatility impact of DAX futures trading.
14p
nguyenminhlong19
21-04-2020
10
0
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Modeling the effects of investor sentiment and conditional volatility in international stock markets
This study’s main objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high sentiment periods weakening the mean-variance relation.
22p
nguyenminhlong19
21-04-2020
18
2
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This study investigates (i) the impact of first- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate fluctuation, (ii) the time-varying exchange rate exposure following the 1997 Asian financial turmoil and the global financial crisis which started in 2007. We find a high percentage of exposed firms before the two crises but if this percentage decreases dramatically after, the exposure level is much larger. The two crises affect also the asymmetric profile of the firms and volatilities.
23p
covid19
19-04-2020
15
0
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