Risk and Ambiguity in Turbulent Times

Quarterly Journal of Finance ◽

10.1142/s2010139222400018 ◽

2021 ◽

Author(s):

Menachem Brenner ◽

Yehuda Izhakian

Keyword(s):

Stock Market ◽

Financial Markets ◽

Market Volatility ◽

Stock Market Volatility ◽

Long Run ◽

Turbulent Times ◽

Volatility Derivatives ◽

History Of ◽

Tail Events ◽

Derivatives Markets

This paper focuses on the 2008–2020 period during which two major crises, affecting the economy and the financial markets, occurred. Between 2008 and 2020, there were less extreme tail events, including the lingering Eurozone and Greece crises. In particular, after extremely high stock market volatility and volatility of volatility (VoV) during 2008, the long-run average volatility declined to about 20% and the VoV to around 100%. This paper analyzes this period through the lens of risk and ambiguity (uncertainty). It aims to address the question: what are the financial markets that trade risk — the volatility derivatives markets — telling us? To this end, this paper uses several measures of uncertainty. It reviews the history of volatility and uncertainty measures and discusses their informativeness. It then discusses the information derived from volatility derivatives.

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Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

Economía & Negocios ◽

10.33326/27086062.2019.1.896 ◽

2020 ◽

Vol 1 (1) ◽

pp. 13-27

Author(s):

Pedro Pablo Chambi Condori

Keyword(s):

Stock Market ◽

Financial Markets ◽

Stock Exchange ◽

Market Volatility ◽

Financial Contagion ◽

Stock Market Volatility ◽

Important Indicator ◽

Dynamic Correlation ◽

High Volatility ◽

The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

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Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

FIIB Business Review ◽

10.1177/2319714520972210 ◽

2020 ◽

Vol 9 (4) ◽

pp. 286-299

Author(s):

Parul Bhatia ◽

Priya Gupta

Keyword(s):

Comparative Analysis ◽

Public Sector ◽

Stock Market ◽

Private Sector ◽

Market Volatility ◽

Leverage Effect ◽

Stock Market Volatility ◽

Long Run ◽

Global Shocks

Stock market volatility may be a function of company, industry, or world over information made public. The present study has investigated the volatility of Indian banking sectoral indices with the general banking index for two shocking events: the Sub-prime crisis and COVID-19. A comparative analysis of both the shocks leading to these indices’ volatility has been conducted using symmetric and asymmetric models. This study’s findings show that these indices’ volatile behaviour has been strong enough to persist in the market with the leverage effect present during the sub-prime crisis. This effect disappeared for Nifty Bank Indices and Private Sector Bank Indices as compared to Public Sector Undertaking Bank Indices during COVID-19 (probably because the pandemic is not over yet). With GARCH and EGARCH models, the study suggests that the investors may use the diversification approach, in the long run, to safeguard their portfolio values to survive from global shocks.

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A Study Of U.S. Stock Market Volatility, Fall 2008

Journal of Business & Economics Research (JBER) ◽

10.19030/jber.v7i11.2358 ◽

2011 ◽

Vol 7 (11) ◽

Author(s):

Ron Christner

Keyword(s):

Stock Market ◽

Financial Markets ◽

Life Span ◽

Relative Magnitude ◽

Market Volatility ◽

Stock Market Volatility ◽

Font Size ◽

Bear Market ◽

Stock Indexes ◽

The U.S

This is a market volatility study utilizing three measures of assessing volatility in the U.S stock markets prior to and after the month of September 2008 using three proxies. The first is the VIX index, the CBOE options volatility measure. The next two are bearish, or short position strategy, ETF’s based on stock indexes but designed to reflect and benefit from stock market movements in the downward direction. They are the Power Shares index, symbol SDS, and the Rydex Index, symbol RMS. This research evaluates and analyzes weekly movements in the three volatility variables mentioned above for a period of the last eight months of 2008. This includes the four months prior to and the four months after the beginning of September 2008. Specifically, the relative magnitude, volatility and degree of correlation between the three variables will be examined and compared to the movements in NYSE, NASDAQ and S & P stock indexes. The life span and volume of trading, one measure of liquidity, in each of the three variables will also be evaluated. Part of the analysis, and conclusions, will involve analyzing how similar or dissimilar the three behave and whether one may be a better indicator of current  or future volatility in the stock market, or financial markets in general and how effective the bear market ETF’s might be as hedging vehicles in a down market.

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An Empirical Model for the Indian Foreign Investment and Stock Market Volatility: Evidence From ARDL Bounds Testing Analysis

International Journal of Financial Research ◽

10.5430/ijfr.v11n2p154 ◽

2020 ◽

Vol 11 (2) ◽

pp. 154

Author(s):

Amar Singh ◽

Arvind Mohan

Keyword(s):

Stock Market ◽

Foreign Investment ◽

Market Volatility ◽

Stock Market Volatility ◽

Bounds Testing ◽

Ardl Model ◽

Long Run ◽

Short Run ◽

The Difference ◽

Bound Test

Foreign investment is a major factor to determine volatility in the stock market. To discover the influence on Stock Market volatility of foreign investment we have considered FE, FD, and FDI as proxy variables of foreign investment and Indian stock market volatility is represented by Indian vix. The period for this study is 2009 to 2017 (monthly data). To address this issue of volatility in the long/short-run we have applied the ARDL. The preference given to the ARDL model over Johansen co-integration is to the difference in the order of integration among the variables. ARDL model allows us to combine the I(0) and I(1) series whereas I(1) required in the case of Johansen approach. Results of unit root confirm the I(0)/I(1) order of integration, which allows us to apply the ADRL bound test. F-statistics is higher than the upper bound critical value at 10%, 5% and providing the evidence of co-integration among variables at a 5% level of significance. Hence, there is a long-run relationship amid the variables. Long-run form results show the negative sign of the coefficient and it is significant. The ECM value is (-0.9671) and it confirms that nearly 96.71 % of the inaccuracy rose in each period and automatically corrected in specified time period.

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DYNAMICS OF CONSUMER EXPENDITURE AND STOCK MARKET PRICES AND UNCERTAINTY: MALAYSIAN EVIDENCE

The Singapore Economic Review ◽

10.1142/s0217590813500252 ◽

2013 ◽

Vol 58 (04) ◽

pp. 1350025

Author(s):

MANSOR H. IBRAHIM ◽

SIONG HOOK LAW

Keyword(s):

Stock Market ◽

Stock Prices ◽

Stock Price ◽

Private Consumption ◽

Emerging Market ◽

Market Volatility ◽

Stock Market Volatility ◽

Consumer Expenditure ◽

Market Uncertainty ◽

Long Run

The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on private consumption behavior for an emerging market, Malaysia, using quarterly data from 1991 to 2009. Employing the autoregressive distributed lag approach to cointegration test, the paper establishes a long-run equilibrium that ties private consumption to its determinants — real income, real stock prices, real lending rate, and stock market volatility. In the long run, the presence of the stock market wealth effect is documented. At the same time, the stock market volatility is also noted to depress private consumption particularly when the volatility is at the degree as observed during the Asian crisis. The authors further note the short-run influences of real stock price changes on consumption growth and the adjustment of private consumption to the long-run level when it is modeled in an error-correction setting. Our simple simulation indicates that the drop in the private consumption due to the decline in stock market wealth post-crisis is substantial, amounting to 2.7% of average post-crisis gross domestic product.

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