Stock Returns And Volatility
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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 | : Robert A. Haugen |
Publisher | : Pearson |
Total Pages | : 170 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : |
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author | : A. R. Pagan |
Publisher | : London : Centre for Decision Sciences and Econometrics, University of Western Ontario |
Total Pages | : 52 |
Release | : 1986 |
Genre | : Econometric models |
ISBN | : |
Author | : Raj S. Dhankar |
Publisher | : Springer |
Total Pages | : 355 |
Release | : 2019-04-25 |
Genre | : Business & Economics |
ISBN | : 813223748X |
This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.
Author | : Robert J. Shiller |
Publisher | : MIT Press |
Total Pages | : 486 |
Release | : 1992-01-30 |
Genre | : Business & Economics |
ISBN | : 9780262691512 |
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Author | : Gregory R. Duffee |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
It has been previously documented that individual firms' stock return volatility rises after stock prices fall. This paper finds that this statistical relation is largely due to a positive contemporaneous relation between firm stock returns and firm stock return volatility. This positive relation is strongest for both small firms and firms with little financial leverage. At the aggregate level, the sign of this contemporaneous relation is reversed. The reasons for the difference between the aggregate- and firm-level relations are explored.
Author | : N. Cakici |
Publisher | : Springer |
Total Pages | : 347 |
Release | : 2014-08-13 |
Genre | : Business & Economics |
ISBN | : 1137359072 |
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Author | : Zuliu Hu |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 1995-10-01 |
Genre | : Business & Economics |
ISBN | : 1451852584 |
Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment over and above that of stock returns. Volatility and its changes are negatively related to investment growth. To the extent volatility depresses fixed capital formation and hence future income growth, the results suggest the desirability of reducing stock market volatility.
Author | : Hans R. Stoll |
Publisher | : |
Total Pages | : 88 |
Release | : 1990 |
Genre | : Business & Economics |
ISBN | : |
Author | : Sudarshan Gooptu |
Publisher | : World Bank Publications |
Total Pages | : 74 |
Release | : 1993 |
Genre | : |
ISBN | : |