Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets

2019 ◽  
Vol 22 (01) ◽  
pp. 1950003
Author(s):  
Willy Alanya ◽  
Gabriel Rodríguez
Keyword(s):  
Stock Market ◽  
Stochastic Volatility ◽  
Likelihood Inference ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetric Effects ◽  
Daily Data ◽  
Reserve Bank ◽  
Market Shocks ◽  
Best Fit

Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochastic volatility (ASV) models are applied to daily data of Peruvian stock and Forex markets for the period of 5 January 1998–30 December 2011. Following the approach developed in [Omori, Y, S Chib, N Shephard and J Nakajima (2007). Stochastic volatility with leverage: Fast likelihood inference. Journal of Econometrics, 140, 425–449], Bayesian estimation tools are used with Normal and [Formula: see text]-Student errors in both models. The results suggest the significant presence of asymmetric effects in both markets. In the stock market, negative shocks generate higher volatility than positive shocks. In the Forex market, shocks related to episodes of depreciation create higher uncertainty in comparison with episodes of appreciation. Thus, the Central Reserve Bank faces relatively major difficulties in its intention of smoothing Forex volatility in times of depreciation. The model with the best fit in both markets is the ASV model with Normal errors. The stock market returns have greater periods of volatility; however, both markets react to shocks in the economy, as they display similar patterns and have a significant correlation for the sample period studied.

scholarly journals Impact of Terrorism on Financial Markets: The Case of Turkey

2016 ◽  
Author(s):  
Neşe Algan ◽  
Mehmet Balcılar ◽  
Harun Bal ◽  
Müge Manga
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Terrorist Attacks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Indices ◽  
Daily Data ◽  
The Impact

This study investigates the impact of terrorism on the Turkish financial market using daily data from Jan 4, 1988 to May 24, 2016. In order to measure the impacts of terrorist attacks in Turkey we test for causality from terrorism index to returns and volatilities of 3 aggregate and 16 sector level stock indices using a recently developed nonparametric causality-in-test test of Balcilar et al. (2016). The results obtained indicate that there is no causality from terrorist activities to stock market returns (1st moment). However, we find significant causality at various quantiles from terrorist activates to volatility (2nd moment) of tourism, food and basic materials sectors.

scholarly journals Weather, Mood and Stock Market Returns in Argentina

2018 ◽  
Vol 7 (4) ◽  
pp. 159
Author(s):  
Bakri Abdul Karim ◽  
Muhammad Hafiz Mohd Shukri ◽  
Sharon Tay Chyu Yuin
Keyword(s):  
Stock Market ◽  
Seasonal Affective Disorder ◽  
Individual Investors ◽  
Investment Planning ◽  
Market Returns ◽  
Weather Variables ◽  
Stock Market Returns ◽  
Fund Managers ◽  
Daily Data ◽  
The Relationship

The paper examines the relationship between weather and stock market returns in the Argentina’s stock market using daily data from 2001 to 2014 and regression models. The data consists of stock market returns, temperature, humidity and wind.  The empirical findings show that all weather variables (temperature, humidity and wind) have significant relationship with stock market returns in some of the trading days in the week. We also find evidence of the existence of day-of-week effect in the stock market. On average, the highest return falls on Friday and lowest return falls on Monday. Temperature is considered very significant in influencing the stock market returns in Argentina. Our findings suggest that the stock market returns are higher when the temperature is higher. This phenomenon is related to the seasonal affective disorder (SAD). We can conclude that stock market of Argentina is not informational efficient. The results have major implications for traders, individual investors, fund managers and financial institutions to make investment planning in the Argentina’s stock market.

scholarly journals Time Series Analysis on Monthly Stock Market Returns of the Nigerian Stock Exchange: An Arima Modeling Approach

2019 ◽  
pp. 1-9
Author(s):  
Eke, Charles N.
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Arima Model ◽  
Research Work ◽  
Information Criteria ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Arima Modeling ◽  
Best Fit

This research work studied the autoregressive integrated moving average (ARIMA) model that best fitted monthly stock market returns of the Nigerian Stock Exchange between January, 2008 to September, 2018. The study collected secondary data from Central Bank of Nigeria (CBN) Statistical Bulletin 2018 on monthly stock market index of NSE to compute the monthly stock market returns. The Box-Jenkins ARIMA modeling was adopted for this work. The series was tested for stationarity using Augmented Dickey Fuller test. Several ARIMA (p, d, q) models were applied to the monthly stock market returns to ascertain the best fit model for the series. The ARIMA (2, 0, 3) model was selected as the best fit for the data since it has minimum values of Akaike Information Criteria and Mean Squared Errors. The forecasted period showed a market with an unstable monthly stock market returns. Therefore, investors were advised to weigh the risks before venturing into the market to invest.

scholarly journals COUNTRY RATING AND STOCK MARKET VOLATILITY: AN EMPIRICAL ESTIMATION FOR KARACHI STOCK EXCHANGE

2014 ◽  
Vol 02 (01) ◽  
pp. 07-14
Author(s):  
Muhammad Bilal Saeed ◽  
◽  
Arshad Hassan ◽  
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Empirical Estimation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daily Data ◽  
Asymmetric Garch ◽  
The Relationship

This study is aimed to explore the relationship between country rating and volatility of Karachi Stock Exchange for the period 1999 to 2012. This study employs daily data of country ratings and stock market returns to investigate influence of rating on volatility of market. Univariate Asymmetric GARCH model is used to explore the relationship and results reveal that country rating has a significant role in explaining volatility in Karachi Stock Exchange.

scholarly journals Soccer and Stock Market Risk: Empirical Evidence from the Istanbul Stock Exchange

2013 ◽  
Vol 112 (3) ◽  
pp. 763-770 ◽  
Author(s):  
M. Hakan Berument ◽  
Nildag Basak Ceylan
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Risk Tolerance ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daily Data ◽  
Increase Risk ◽  
Soccer Teams ◽  
Future Events ◽  
Sport Events

There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray). Results provide evidence that risk tolerance increases after a win, but similar patterns were not found after a loss.

scholarly journals Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model

2019 ◽  
Vol 11 (3(J)) ◽  
pp. 10-22
Author(s):  
Diteboho Xaba, ◽  
Ntebogang Dinah Moroke, ◽  
Ishmael Rapoo
Keyword(s):  
Stock Market ◽  
Preliminary Analysis ◽  
Markov Switching ◽  
Market Returns ◽  
Stock Market Returns ◽  
Brics Countries ◽  
Switching Dynamic ◽  
Using Data ◽  
Dynamic Regression Model ◽  
Best Fit

This article adopted a Markov-switching dynamic regression (MS-DR) model to estimate appropriate models for BRICS countries. The preliminary analysis was done using data from 01/1997 to 01/2017 and to study the movement of 5 stock market returns series. The study further determined if stock market returns exhibit nonlinear relationship or not. The purpose of the study is to measure the switch in returns between two regimes for the five stock market returns, and, secondly, to measure the duration of each regime for all the stock market returns under examination. The results proved the MS-DR model to be useful, with the best fit, to evaluate the characteristics of BRICS countries.

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