Structural changes in the conditional volatility process of stock market returns

2010 ◽  
Author(s):  
Josip Arneric
Keyword(s):  
Stock Market ◽  
Structural Changes ◽  
Conditional Volatility ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

2017 ◽  
Vol 64 (3) ◽  
pp. 325-338 ◽  
Author(s):  
Amanjot Singh
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Management Strategies ◽  
Conditional Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Egarch Model ◽  
The Global Financial Crisis

Abstract The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH) model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.

scholarly journals U.S. STOCK MARKET P/E RATIOS, STRUCTURAL BREAKS, AND LONG-TERM STOCK RETURNS

2018 ◽  
Vol 19 (1) ◽  
pp. 110-123 ◽  
Author(s):  
Chung BAEK ◽  
Ingyu LEE
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Structural Breaks ◽  
Structural Changes ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Cumulative Sum Control ◽  
The Relationship

Our study investigates structural changes in the market P/E ratio and shows how structural changes affect long-term stock market returns. Using the cumulative sum control chart and the Bai-Perron algorithm, we identify multiple structural breakpoints in the market P/E ratio and find that those structural changes are significantly perceived over the long run. Unlike previous studies that do not consider structural changes, our study is the first one that shows how structural changes asymmetrically influence long-term stock returns depending on the high or low P/E period. This implies that structural changes in the market P/E ratio play an important role in explaining long-term stock returns. We propose that structural changes should be taken into account in some manner to establish the relationship between P/E ratios and long-term stock returns.

scholarly journals Gold-Stock Market Relationship: Emerging Markets versus Developed Markets

2017 ◽  
Vol 7 (1) ◽  
pp. 17-24 ◽  
Author(s):  
Jalal Seifoddini ◽  
Fraydoon Rahnamay Roodposhti ◽  
Elahe Kamali
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Structural Changes ◽  
Emerging Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Short And Long Term ◽  
The Relationship ◽  
Market Relationship

We perform a comparative study on the gold-stock market relationship in U.S. stock market as a developed market and in Iran stock market as an emerging market. By considering appropriate variables for emerging markets and by providing a more proper methodology, we improve earlier studies. According to our findings, the relationship between stock market returns and gold price returns does not follow any specific regimes and that this relationship changes in short and long term returns. It is necessary to mention that in the present research, we did not consider this relationship in major structural changes in the economies and instead considered usual economic circumstances that investors are regularly faced with in their investment decisions.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

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