Have European Stocks Become More Volatile An Empirical Investigation Of Idiosyncratic And Market Risk In The Euro Area
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| Author | : Colm Kearney |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 Euro area stock markets over the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find a rise in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to the United States, however, market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are pro-cyclical, and they rise during times of low market returns. Market and average idiosyncratic volatility jointly predict market wide returns, and the latter impact upon both market and idiosyncratic volatility. This has asset pricing and risk management implications.
| Author | : Colm Kearney |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the Euro-area stock markets in the period 1974-2004. Similarly to Campbell, Lettau, Malkiel and Xu (2001), we find an increase in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to their findings, however, market risk is trended upwards and correlations among the stocks are only mildly trended downwards. Market volatility tends to lead the other volatility measures in EMU markets whereas idiosyncratic volatility leads in the US ones. Both the volatility and the correlation measures increase at times of low market returns implying a skewed market portfolio return distribution. We suggest a number of implications of these findings for portfolio management, trading and asset pricing.
| Author | : John Y. Campbell |
| Publisher | : |
| Total Pages | : 74 |
| Release | : 2000 |
| Genre | : Portfolio management |
| ISBN | : |
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.
| Author | : John Y. Campbell |
| Publisher | : |
| Total Pages | : |
| Release | : 2022 |
| Genre | : COVID-19 Pandemic, 2020- |
| ISBN | : |
This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly extending the period covered in our original paper as well as the two replication studies. After spiking in the 1999- 2000 period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility occurred during the global financial crisis of 2008-2009 and the COVID-19 pandemic of 2020-2021. We argue that market microstructure effects are not of first-order importance for volatility measurement, and we discuss the roles of fundamental factors and investor sentiment in driving the observed fluctuations in volatility.
| Author | : Greg N. Gregoriou |
| Publisher | : CRC Press |
| Total Pages | : 654 |
| Release | : 2009-04-08 |
| Genre | : Business & Economics |
| ISBN | : 1420099558 |
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
| Author | : Ms.Brenda Gonzalez-Hermosillo |
| Publisher | : International Monetary Fund |
| Total Pages | : 28 |
| Release | : 2014-05-02 |
| Genre | : Business & Economics |
| ISBN | : 1484368347 |
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro area as markets use Germany’s sovereign CDS as a hedge for systemic risk. Although most of the CDS changes for Germany during 2009–12 were due to idiosyncratic factors, market developments in Italy and Spain contributed significantly, likely due to their relative importance in the region. Changes in Greece’s sovereign CDS had no significant effect on Germany’s sovereign CDS despite initial widespread concerns about such linkages. Spain and Italy show a notable co-dependence in explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to persistent and nearly permanent effects on the stochastic volatility of European sovereign CDS spreads.
| Author | : Gabriele Suder |
| Publisher | : Routledge |
| Total Pages | : 462 |
| Release | : 2018-07-18 |
| Genre | : Business & Economics |
| ISBN | : 1315397285 |
International Business is a well-established research field, in which regionalisation has gained prominence in the last decade. Because Europe is a market that shows specific patterns of highly advanced market integration, European Business is a subject in its own right and with its own research momentum. In particular, firms view Europe as a challenging, mostly – yet not entirely- mature market location that is subject to complexities that help reveal strategic corporate strengths and weaknesses. Europe represents a location that undergoes frequent and rapid change due to its geo-economic and geopolitical position This comprehensive reference volume brings together a global team of contibutors to analyze and overview the key issues, themes and phenomena that affect business in Europe. With interdisciplinary perspectives from key disciplines, the book covers a range of vital themes such as culture, entrepreneurship, identity, human rights and climate change. The selection of authors reflects the international scope of this book, and is drawn from institutions located in 17 countries across Europe. A unique resource, this book covers a region undergoing significant geoeconomic and geopolitical change, and provides a comprehensive guide to research students and scholars of business and the social sciences.
| Author | : Frédéric Abergel |
| Publisher | : Springer |
| Total Pages | : 360 |
| Release | : 2015-01-27 |
| Genre | : Science |
| ISBN | : 3319084739 |
This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.
| Author | : Ernesto Leon-Castro |
| Publisher | : CRC Press |
| Total Pages | : 358 |
| Release | : 2023-12-14 |
| Genre | : Business & Economics |
| ISBN | : 1003807496 |
Innovation and sustainability are issues that have become very relevant in recent years. This book presents a compilation of investigations on these topics, divided into those applied in government or enterprises. The objective is to demonstrate to the audience how these issues have been worked around the world and in different scenarios. Among the papers, there are works related to economic variables, imports, exports, and analysis in different sectors such as tourism, agriculture, education, and even in countries in general.
| Author | : Federico Beltrame |
| Publisher | : Springer |
| Total Pages | : 261 |
| Release | : 2016-06-27 |
| Genre | : Business & Economics |
| ISBN | : 1137561424 |
This book aims to overcome the limitations the variations in bank-specifics impose by providing a bank-specific valuation theoretical framework and a new asset-side model. The book includes also a constructive comparison of equity and asset side methods. The authors present a novel framework entitled, the “Asset Mark-down Model”. This method incorporates an Adjusted Present Value model, which allows practitioners to identify the main value creation sources of a particular bank: from asset-based cash flow and the mark-down on deposits, to tax benefits on bearing liabilities. Through the implementation of this framework, the authors offer a more accurate and more specific approach to valuing banks.
