The Research on the Return Volatility and the Relationship with Volumes in Shanghai Gold Market

2007 ◽  
Author(s):  
Lv Wen-dong ◽  
Dong Xiu-liang ◽  
Zhao Yang
Keyword(s):  
Return Volatility ◽  
Gold Market ◽  
The Relationship

scholarly journals ON THE RELATIONSHIP OF IMPLIED, REALIZED AND HISTORICAL VOLATILITY: EVIDENCE FROM NSE EQUITY INDEX OPTIONS

2014 ◽  
Vol 15 (5) ◽  
pp. 915-934 ◽  
Author(s):  
Puja Padhi ◽  
Imlak Shaikh
Keyword(s):  
Instrumental Variable ◽  
Implied Volatility ◽  
Return Volatility ◽  
Volatility Forecasting ◽  
Variable Technique ◽  
Index Options ◽  
Equity Index ◽  
Relationship Of ◽  
Index Option ◽  
The Relationship

This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples. The study covers the period from introduction of options on the derivative segment of NSE, June 2001 to May 2011. The results reveal that call and put implied volatility of S&P CNX Nifty index option does contain information about future realized return volatility. This study accounts for the problem of error-in-variable and controls for it by using the instrumental variable technique. In the 2SLS estimation, the Hausman H-statistic shows that call implied volatility is measured with error. Hence, 2SLS coefficients are more consistent than the OLS estimates. Results of this study might prove to be helpful to the volatility traders in volatility forecasting and option pricing.

scholarly journals The Relationship of BIST Sector Indices with Exchange Rate Volatility

2021 ◽  
Vol 8 (1) ◽  
pp. 56-74
Author(s):  
Necmiye Serap Vurur
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Industrial Sector ◽  
Suitable Model ◽  
Return Volatility ◽  
Causality Test ◽  
Daily Data ◽  
Causality Relationship ◽  
The Exchange Rate ◽  
The Relationship

Through globalization, the increased integration in financial markets has made the relationship between exchange rate and stocks important. The study aims to model the exchange rate volatility using daily data for the period 04.01.2010-15.10.2020 and investigate the causality relationship between sector returns and exchange rate return volatility. In order to model the volatility of the exchange rate return series, the GARCH model was used to reveal the possible asymmetry feature in the series. As a result of the model applications, GARCH (2,2) was determined as the most suitable model to measure volatility modelling. Then, the Granger causality test was used to see whether there is a relationship between BIST sector return indices and exchange rate return volatility. As a result of the study, one notes that there is a uni-directional causality from the exchange rate return volatility series to the service, technology, and industrial sector indices. There is a bi-directional causality relationship between the financial sector index and the exchange rate return volatility series. It is noteworthy that the causality relationship between the BIST100 index and the exchange rate is towards the volatility of the exchange rate return series from the BIST 100 index, unlike the sector indices. According to this result, it is seen that the changes in the dollar exchange rate affect the decisions of the investors who will invest in the relevant index. The results show that in the case of Turkey, mostly traditional theories are valid.

scholarly journals The Primary Origin of the Financial Crisis

2021 ◽  
Author(s):  
Aloui Mouna ◽  
Jarboui Anis
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Simultaneous Equation ◽  
Independent Directors ◽  
Return Volatility ◽  
Outside Directors ◽  
Stock Return Volatility ◽  
Negative Effect ◽  
Primary Origin ◽  
The Relationship

This paper examines the relationship between the stock return volatility, outside directors, independent directors, and variable control using simultaneous-equation panel data models for a panel of 89 France-listed companies on the SBF 120 over the period of 2006–2012. Our results showed that the outside directors (FD) and audit size increase the stock return volatility. Furthermore, the results indicate that the independent directors and ROA have a negative effect on the stock return volatility; this result indicates that these variables contribute to decrease and stabilize the stock return volatility. This study employs a variety of econometric models, including feedback, to test the robustness of our empirical results. Also, we examine the relationship between the corporate governance and the stock returns volatility, exchange rate, and treasury bill using GARCH-BEKK model for a panel of 99 French firms over the period of 2006–2013.

scholarly journals Foreign Ownership, Return Volatility, Trading Volume, and Risk of Stocks in Indonesia

2018 ◽  
Author(s):  
Ahmad Maulin Naufa ◽  
I Wayan Nuka Lantara
Keyword(s):  
Panel Data ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Indonesian Government ◽  
The Relationship

This study examines the relationship between foreign ownership and return volatility, trading volume, and risk of stocks at the Indonesia Stock Exchange (IDX). Panel data of selected companies listed on the LQ45 index of the IDX was employed for the period between 2011 and 2017. Foreign ownership was found to positively affect stock return volatility, trading volume, and risk. Hence, more substantial foreign ownership of stocks meant more drawbacks to Indonesian stocks. Therefore, there is a need for the Indonesian government to limit and regulate foreign shareholders in Indonesia.  

scholarly journals Did the Covid-19 Pandemic Affect the Relationship Between Trading Volume and Return Volatility in the Cryptocurrencies?

2021 ◽  
Vol 66 (4) ◽  
pp. 517-534
Author(s):  
Serkan Samut ◽  
Rahmi Yamak
Keyword(s):  
Trading Volume ◽  
Return Volatility ◽  
Correlation Analyses ◽  
The World ◽  
Sequential Information ◽  
Mixture Of Distribution Hypothesis ◽  
The Relationship

In this study, it was investigated whether the Covid-19 pandemic, which started to affect the world in early 2020, influenced the relationship between return volatility and trading volume in the cryptocurrency market. In the empirical part of the study, 40 cryptocurrencies were included in the analysis. The data were divided into two separate periods as before and during the pandemic. Two alternative estimators developed by Garman and Klass (1980) and by Rogers and Satchell (1991) were used to measure the return volatility of cryptocurrencies. With causality and simultaneous correlation analyses, it was determined that the sequential information arrival hypothesis was valid in the cryptocurrency market in the pre-pandemic period. In the pandemic period, the sequential information arrival hypothesis lost its effect and left its place to the mixture of distribution hypothesis.

scholarly journals A reexamination of the relationship between volatility, liquidity and trading activity

2013 ◽  
pp. 33
Author(s):  
Khine Kyaw ◽  
David Hillier
Keyword(s):  
Firm Size ◽  
Market Liquidity ◽  
Security Level ◽  
Return Volatility ◽  
Trading Activity ◽  
Negatively Associated ◽  
Equity Trading ◽  
The Individual ◽  
The Relationship ◽  
Individual Security

<p>Este trabajo investiga si la relación entre actividad negociadora en el mercado de acciones, la liquidez del mercado y la volatilidad a nivel de cartera, es similar a dicha relación a nivel deacciones individuales. Para las carteras de empresas de mayor tamaño, la mayor actividad negociadora está relacionada con mayor liquidez y más volatilidad. Sin embargo, a pesar de quela relación volatilidad-liquidez es la misma para las carteras de acciones pequeñas, encontramos que la mayor actividad negociadora está negativamente asociada con la liquidez para estaagrupación. Este contraste en las relaciones está causado por las interrelaciones dinámicas entre las tres variables y una vez que se controla por esas interrelaciones, dicho contraste en losresultados desparece. Estos hallazgos contribuyen al debate sobre el comportamiento del mercado, que ha adquirido un renovado interés en los últimos años.</p><p>We investigate whether the relationship between equity trading activity, market liquidity and return volatility at the portfolio level is similar to the relationship at the individual security level. For the very largest firm-size portfolio, higher trading activity is positively associated with greater liquidity and more volatile returns. However, despite the volatility-liquidity relationship being the same for smaller equity portfolios, we find that higher trading activity is negatively associated with liquidity for this grouping. These contrasting relationships are shown to be caused by the interdynamics between all three variables and once we control for these interrelationships, the contrasting results disappear. The findings contribute to the debate on market behaviour that has taken on renewed vigour in recent years.</p>

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