• 沒有找到結果。

[PDF] Top 20 Stock Returns and Volatility in Emerging Stock Markets

Has 10000 "Stock Returns and Volatility in Emerging Stock Markets" found on our website. Below are the top 20 most common "Stock Returns and Volatility in Emerging Stock Markets".

Stock Returns and Volatility in Emerging Stock Markets

Stock Returns and Volatility in Emerging Stock Markets

... investors in emerging markets are often compensated for bearing relevant local market risk, while investors in developed markets are often penalized by bearing irrelevant local market ... See full document

13

The Structural Change of Stock Returns and Volatility Subsequent to the Deregulation for Foreign Investment in Taiwan Markets

The Structural Change of Stock Returns and Volatility Subsequent to the Deregulation for Foreign Investment in Taiwan Markets

... Our research constructed the structural change GARCH regression model to capture the effect of foreign institutional trading behaviors on the Taiwan Stock Exchang巴 Accordi[r] ... See full document

34

Empirical Comparison of Common Dynamic Features in Stock Returns between Taiwan and Thailand Stock Markets

Empirical Comparison of Common Dynamic Features in Stock Returns between Taiwan and Thailand Stock Markets

... Box and Pierce can be used to verify the autocorrelation in our model whose null hypothesis is ‘there is no serial correlation in the model residuals (or squared ...the volatility equation ... See full document

44

VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE

VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE

... risk in spite of the ...if returns are not ...market volatility increases in bear markets and ...idiosyncratic volatility increases in down ...downside and ... See full document

21

Weather and Intraday Patterns in Stock Returns and Trading Activity

Weather and Intraday Patterns in Stock Returns and Trading Activity

... weather in New York City and intraday returns and trading patterns of NYSE ...While stock returns are found to be generally lower on cloudier days, cloud cover has a significant ... See full document

13

Modeling China Stock Markets and International Linkages

Modeling China Stock Markets and International Linkages

... parameters and improvement of estimation precision are ...Glymour, and Scheines for details on graphs ...restrictions in the Bernanke-Sims decomposition and the impulse response is computed to ... See full document

28

Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries

Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries

... linkages and interactions between exchange rates and stock prices, only a limited body of research has attempted to analyze the possibility that the transmission of volatility or a ... See full document

15

Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges

Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges

... security returns. In addition, one cannot understate the importance of stock returns and portfolio ...variation in this study) in stock prices can improve price ... See full document

15

Examining the Volatility of Taiwan Stock Index, Dow Jones, and Nikkei Market Returns via a Three-Volatility-Regime Markov-Switching ARCH Model

Examining the Volatility of Taiwan Stock Index, Dow Jones, and Nikkei Market Returns via a Three-Volatility-Regime Markov-Switching ARCH Model

... the volatility of TAIEX, and also collects Nikkei and Dow Jones for conducting sensitivity ...setting in the SWARCH models appears to significantly diminish the problem of high persistence ... See full document

17

Explaining international stock correlations with CPI fluctuations and market volatility

Explaining international stock correlations with CPI fluctuations and market volatility

... recent inflation and contains the information spread from real economy to financial ...Macroeconomic influences usually penetrate gradually and evolve over ...GDP and interest rates may ... See full document

10

Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market

Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market

... Conclusion and Discussions Ten-minute returns of the Composite Index of the Malaysian stock market are found to exhibit a significant time-of-day effect and time-varying ...time-varying ... See full document

19

Impact of Foreign Listed Single Stock Futures on the Domestic Underlying Stock Markets

Impact of Foreign Listed Single Stock Futures on the Domestic Underlying Stock Markets

... Bessembinder and Seguin’s opinion, trade volume and open interest are two important trading activity variables, influencing the conditional ...first, and then the detrended series should be ... See full document

9

On IPO Market Anomalies through the Emerging Stock Market in Taiwan

On IPO Market Anomalies through the Emerging Stock Market in Taiwan

... direct and two-stage ...underpricing and long-term performance of IPO firms in ...Derrien and Kecskes (2007), we first examine short-term IPO underpricing by comparing the IPO abnormal ... See full document

20

Linear and nonlinear Granger causality in the stock price-volume relation : A perspective on the agent-based model of stock markets

Linear and nonlinear Granger causality in the stock price-volume relation : A perspective on the agent-based model of stock markets

... between stock returns and the trading volume via the agent-based stock mar- kets ...of stock markets highly relevant to this ...encapsulated in agent-based stock ... See full document

25

Price Discovery in Agent-Based Computational Modeling of Artificial Stock Markets

Price Discovery in Agent-Based Computational Modeling of Artificial Stock Markets

... based stock market, in which the twin assumptions, namely, rational expectations and the representative agents normally made in mainstream economics, are ...removed. In this model, ... See full document

8

Forecasting efficiency of implied volatility and the intraday high-low price range in Taiwan stock market

Forecasting efficiency of implied volatility and the intraday high-low price range in Taiwan stock market

... as in-sample data to estimate the required ...250-day in-sample data are also used to estimate the parameters for comparison ...out-of-sample volatility forecasts are obtained for the next N=1, 10, ... See full document

11

Jump Distribution Characteristics: Evidence from European Stock Markets

Jump Distribution Characteristics: Evidence from European Stock Markets

... realized volatility; jumps; bipower variation; stock market indexes JEL classification: C14; C51; G11 ...role in financial modeling, allowing one to elegantly solve problems as important as the ... See full document

22

The Wealth Effects of Oil-related Name Changes on Stock Prices: Evidence from the U.S. and Canadian Stock Markets

The Wealth Effects of Oil-related Name Changes on Stock Prices: Evidence from the U.S. and Canadian Stock Markets

... role in determining the wealth effects of oil-related name changes in the ...found in both U.S. and Canadian ...persistent and significantly positive wealth effects exist in the ... See full document

20

Do the Chinese Bourses (Stock Markets) Predict Economic Growth?

Do the Chinese Bourses (Stock Markets) Predict Economic Growth?

... maturity in the Chinese security markets and the rapid transformation of the Chinese ...security markets in China to the size of the economy, we find that the security markets ... See full document

11

Intraday Information Trading Volume and Return Volatility: Evidence from the Order Flows on the Taiwan Stock Exchange

Intraday Information Trading Volume and Return Volatility: Evidence from the Order Flows on the Taiwan Stock Exchange

... highest in the world, coupled with unusually high volatility. In 1990, the TSE collapsed by posing a drop of more than 40% in value, while in 1996 the TSE’s value rose by 34%, the ... See full document

42

Show all 10000 documents...