A Causality Analysis of Societal Risk Perception and Stock Market Volatility in China

2018 ◽  
Vol 27 (5) ◽  
pp. 613-631 ◽  
Author(s):  
Nuo Xu ◽  
Xijin Tang
Keyword(s):  
Risk Perception ◽  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Causality Analysis ◽  
Societal Risk

Volatility and the Regulation of Stock Markets

2016 ◽  
pp. 134-145
Author(s):  
Filiz Eryilmaz
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Causality Analysis ◽  
Financial Trading ◽  
Trading Halts ◽  
The Relationship

In recent years, one of the most important topics related to stock market volatility which is attracting attention, is stock returns, or in other words, the relationship between stock price volatility and trading volume. The aim of this study was to obtain information about the financial market structure of Bangladesh, India, Pakistan by applying Granger Causality Analysis to the relationship of trading volume and stock returns volatility in the period 1980–2012. The study then examines some of the stock market regulations that have been proposed in South Asia to attenuate stock market volatility, which have usually included proposals to limit volatility by imposing temporary trading halts, limiting the legal leverage available to investors in financial assets, altering exchange trading practices to accommodate volume, and by raising the transactions costs of financial trading.

Estimating Emerging Stock Market Volatility Using Garch Family Models

2011 ◽  
Vol 3 (9) ◽  
pp. 331-333 ◽  
Author(s):  
Ramona Birău ◽  
◽  
Jatin Trivedi
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Family Models

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

Trump Tweets’ Sentiment, Stock Market Volatility and Jumps

2021 ◽  
Author(s):  
Yusaku Nishimura ◽  
Xuyi Dong ◽  
Bianxia SUN
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility
Sign in / Sign up

Export Citation Format

Share Document