Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective

2019 ◽  
Vol 19 (2) ◽  
pp. 127-153 ◽  
Author(s):  
Michael Graham ◽  
Jussi Nikkinen ◽  
Jarkko Peltomäki
Keyword(s):  
Stock Market ◽  
Emerging Market ◽  
Investor Sentiment ◽  
Jel Classification ◽  
Market Volatility ◽  
Stock Index ◽  
Stock Market Volatility ◽  
Web Based ◽  
Emerging Stock Markets ◽  
Global Investors

This article considers web-based global investors’ crash fears as a gauge of global investors’ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors’ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investors’ fears is important when explaining emerging market volatilities. JEL Classification: F30, G11, G15

scholarly journals Capital Market Response to COVID-19 Pandemic – A Systematic Review on Stock Volatility and Performance

2021 ◽  
pp. 27-49
Author(s):  
Janga Bahadur Hamal ◽  
Rishi Raj Gautam
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Government Response ◽  
Stock Market Performance ◽  
Policy Measures ◽  
And Performance ◽  
The Impact

This paper aims to identify the impact of the COVID-19 pandemic on stock market volatility and market return as well as the impact of government response to the COVID-19 pandemic on stock market performance. To analyze the same, the paper has adopted Systematic Literature Review (SLR) approach and conducted a review of 40 journal articles published between between2020 to mid-2021. The paper identified that the short-term impact of the COVID-19 outbreak and government policy measures had a significant and adverse impact on stock market volatility, return and overall performance. In the longer term, the stock markets slowly started to stabilize and revive. This effect on the stock market was also attributed to investor sentiment and thus, in the later stages, targeted government response had a positive effect on boosting investor confidence towards the market.

Day Of The Week And Its Effect On Stock Market Volatility: Evidence From An Emerging Market

2013 ◽  
Vol 29 (6) ◽  
pp. 1727 ◽  
Author(s):  
Omar Farooq ◽  
Mohammed Bouaddi ◽  
Neveen Ahmed
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
International Markets ◽  
Conditional Variance ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Foreign Investors ◽  
High Volatility ◽  
Day Of The Week

This paper investigates the day of the week effect in the volatility of the Saudi Stock Exchange during the period between January 7, 2007 and April 1, 2013. Using a conditional variance framework, we find that the day of the week effect is present in the volatility. Our results show that the lowest volatility occurs on Saturdays and Sundays. We argue that due to the closure of international markets on Saturdays and Sundays, there is not enough activity in the Saudi Stock Exchange. As a result, the volatility is the lowest on these days. Our results also show that the highest volatility occurs on Wednesdays. We argue Wednesday, being the last trading day of the week, corresponds with the start of four non-trading days (Thursday through Sunday) for foreign investors. Fearing that they will be stuck up with stocks in case some unfavorable information enters the market, foreign investors tend to exit the market on Wednesdays. As a result of excessive trading, there is high volatility on Wednesdays.

Exploring the Relationships among Interest Rate, Exchange Rate, and Stock Market in Indonesia

2016 ◽  
Vol 4 (3) ◽  
pp. 37-43
Author(s):  
Sherlinda Octa Yuniarsa ◽  
Jui-Chuan Della Chang
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Structural Breaks ◽  
Emerging Market ◽  
Exchange Rate Volatility ◽  
Market Volatility ◽  
Empirical Literature ◽  
Stock Market Volatility

Objective - The purpose of this research is to explore the relationships among interest rate, exchange rate, and stock price in Indonesia. Methodology/Technique - This study used data from the Central Bank of Indonesia to empirically test a proposed model of interest rate, exchange rate, and stock price. Findings - The findings confirmed that there are positive volatilities from exchange rate and negative volatility from interest rate. The relationships among interest rate, exchange rate, and stock market excessive volatility a little bit strengthen during economic crises, a study that allows for structural breaks, to account for the effects of sudden macroeconomic shocks, recessions, and financial crises, would be important to empirical literature on Indonesia. Novelty - This study proved that it is important to point out the variance decomposition results also showed that except for volatility in the exchange rate, interest rate, and stock market volatility also seems to explain quite a high proportion of the some variations of the macroeconomic excessive volatility. Type of Paper - Conceptual Keywords: interest rate volatility, exchange rate volatility, stock market volatility, emerging market, Asymmetric ARCH models

scholarly journals Stock Market Volatility, Recurrence Interval and Memory Effect

2017 ◽  
Vol 3 (3) ◽  
pp. 14
Author(s):  
Zhang Chi
Keyword(s):  
Stock Market ◽  
Extreme Events ◽  
Risk Estimation ◽  
Loss Probability ◽  
Recurrence Interval ◽  
Market Volatility ◽  
Stock Index ◽  
Extreme Value Statistics ◽  
Stock Index Futures ◽  
Stock Market Volatility

The stock market volatility in 2015 has caused serious damage to investors and the market has also suffered severely and immensely. During the last year, large volatility and extreme events were increasingly frequent than before, which made great theoretical and practical significance to gain a deep understanding of extreme value statistics of the volatility. Extreme events also bring huge risk to financial market, therefore the risk prevention, estimation and prediction are of necessity.The research uses 1-min high-frequency datasets of Shanghai 50 Stock Index Futuresin 2015. The data comes from Tongdaxin Database. The paper is the first one to study Shanghai 50 Stock Index Futures and a relationship between recurrence interval and risk estimation has been constructed. We find the recurrence interval of stock volatility can be fitted with stretched exponential function and the recurrence interval decreases when the threshold decreases. Then we demonstrate the existence of short-term and long-term correlations in recurrence intervals. We further construct a hazard function and define a loss probability to evaluate risk and find a crossover point in the loss probability plot. The study would enable one to improve risk estimation andthere are some shortcomings and need to be perfect in the future.

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