Forecasting the Time Volatility of Emerging Asian Stock Market Index

2007 ◽  
Vol 3 (2) ◽  
pp. 38-51 ◽  
Author(s):  
M. Selvam ◽  
M. Raja ◽  
P. Yazh Mozhi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Market Index ◽  
Asian Market ◽  
Current Price ◽  
One Year ◽  
Almost All ◽  
Derivatives Markets

Volatility is the measure of how far the current price of an asset deviates from its average past prices. Greater the deviation, greater the volatility. It indicates the strength or conviction behind a price movement. Stock market volatility is the function of the arrival of positive and negative market information. Pricing of securities is supposed to be dependent on the volatility of each asset. Matured / developed markets continue to provide over long period of time high returns with low volatility. Emerging markets, except India and China exhibit low returns. The exponential growth in the Asian derivatives markets necessitated the need to test whether the Asian market indices are more volatile or not. The study finds an evidence of time varying volatility, which exhibits clustering, high persistence and predictability for almost all the Asian market indices in the sample. With this background the present paper investigates the dynamic behavior of stock returns of ten market indices from Asian countries, using symmetric GARCH (1,1) model for a period of one year from January 2006 to December 2006.

scholarly journals A Study on Affiliation between Indian Stock Market and Macro Economic Variables

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Pooja Chaturvedi Sharma
Keyword(s):  
Stock Market ◽  
Inflation Rate ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Complex Interplay ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Causality Tests ◽  
Indian Stock Market

Stock market volatility is a result of complex interplay of a host of factors. Hence, it is difficult to make a correct assessment of its movement. Macroeconomic variables have are very much influential in context of the volatility of stock market. This study inspects the association amongst stock market index and selected macroeconomic variables. For the analysis unit root, co-integration, Granger causality tests and Johansen co-integration tests were performed. Outcomes of the study showed that all the variables namely money supply, exchange rate and inflation rate are positively correlated with the stock market index except gold prices. Co-integration existed between the stock market index and macroeconomic variables. The study uses monthly data of past ten years (i.e. from April 2008 to March 2018).

scholarly journals The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange

2016 ◽  
Vol 71 ◽  
pp. 17-24
Author(s):  
Mohsen Mehrara ◽  
Yazdan Gudarzi Farahani ◽  
Farzan Faninam ◽  
Abbas Rezazadeh Karsalari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Price Index ◽  
Government Expenditure ◽  
Maximum Level ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
The Government ◽  
Positive Effect

This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that the macroeconomic variables such as inflation, exchange rate and GDP have significant effects on Tehran exchange price index. So the hypothesis that the improving economic factors can have a useful role in the booming capital market is confirmed. Also the effect of fiscal policy factors such as tax revenues and government expenditures is more than monetary policy factors on stock returns.

scholarly journals Modeling stock market volatility in Croatia

2021 ◽  
Vol 34 (2) ◽  
pp. 431-442
Author(s):  
Hrvoje Jošić ◽  
Berislav Žmuk
Keyword(s):  
Stock Market ◽  
Degrees Of Freedom ◽  
Stock Exchange ◽  
Error Distribution ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
The Past ◽  
Market Index ◽  
Generalized Error Distribution ◽  
Error Distributions

Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, Student’s-distribution with fixed degrees of freedom and generalized error distribution (GED) with fixed parameters). Results: The findings obtained in the research are in the line with previous research in this field (Erjavec & Cota, 2007; Sajter & Ćorić, 2009). The volatility of CROBEX returns is positively correlated with the volume of trade on the Zagreb Stock Exchange and movements on the main European and American stock markets. The movement of S&P 500 stock market index returns is transmitted from the previous day, providing signals for the direction of change of CROBEX index returns in the present. Conclusion: Therefore, this paper provides evidence that investors in Croatia strongly rely on the past information received from the American S&P500 stock market index. Furthermore, there seems to exist the co-movement between CROBEX and main European indexes on the same trading day.

scholarly journals The impacts of Covid-19 pandemic on the smooth transition dynamics of stock market index volatilities for the Four Asian Tigers and Japan

2021 ◽  
Vol 10 (4) ◽  
pp. 183-194
Author(s):  
Day Yang Liu ◽  
Ming Chen Chun ◽  
Yi Kai Su
Keyword(s):  
Stock Market ◽  
South Korea ◽  
Global Economy ◽  
Structural Changes ◽  
Smooth Transition ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Market Index ◽  
Transition Functions ◽  
Asian Tigers

This rapid propagation of the Novel Coronavirus Disease (COVID-19) has caused the global healthcare system to break down. The infectious disease originated from East Asia and spread to the world. This unprecedented pandemic further damages the global economy. It seems highly probable that the COVID-19 recession changes stock market volatility. Therefore, this study resorts to the Generalized Autoregressive Conditional Heteroscedastic (GARCH) model with a smooth transition method to capture the influences of the COVID-19 pandemic on the dynamic structure of the stock market index volatilities for some Asian countries (the Four Asian Tigers and Japan). The empirical results show that the shocks of the COVID-19 change the dynamic volatility structure for all stock market indices. Moreover, we acquire the transition function for all stock market index volatilities and find out that most of their regime adjustment processes start following the outbreak of the COVID-19 pandemic in the Four Asian Tigers except South Korea and Japan. Additionally, the estimated transition functions show that the stock market index volatilities contain U-shaped patterns of structural changes. This article also computes the corresponding calendar dates of structure change about dynamic volatility patterns. In the light of estimation of location parameters, we demonstrate that the structure changing the date of stock market index volatility for South Korea and Japan has occurred in late 2019.

scholarly journals Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange

2019 ◽  
Vol 5 (1) ◽  
pp. 43-54
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Market Index ◽  
Market Index ◽  
Study Methodology ◽  
Composition Changes ◽  
Event Study Methodology

AbstractThis paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period from January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on the ZSE, which is consistent with the price pressure hypothesis; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on the Croatian stock market, thus more questions need to be answered in future research.

Stock returns and volatility: Evidence from the Athens Stock market index

2001 ◽  
Vol 25 (1) ◽  
pp. 50-61 ◽  
Author(s):  
Nicholas Apergis ◽  
Sophia Eleptheriou
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Market Index ◽  
Market Index

The Relationship of Monetary and Fiscal Policy Credibility with the Stock Market Volatility in a Developing Country

2021 ◽  
pp. 097215092098251
Author(s):  
Vinícius Medeiros Magnani ◽  
Antonio Daniel Ricardo Caluz ◽  
Rafael Confetti Gatsios ◽  
Fabiano Guasti Lima
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
Market Index ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Relationship

The present study aims to analyse the relationship between fiscal and monetary credibility and the volatility of the Brazilian stock market index, Ibovespa. The results demonstrate that the greater the credibility of the target imposed by the Brazilian Central Bank, the more predictable and stable are the macroeconomic variables and the greater the confidence of economic agents in the Brazilian stock market. We can conclude that the greater the fiscal and monetary credibility, the better is the performance of the stock market.

scholarly journals Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index

2018 ◽  
Vol III (III) ◽  
pp. 466-476
Author(s):  
Mustafa Afeef ◽  
Nazim Ali ◽  
Adnan Khan
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
External Factors ◽  
Forecasting Model ◽  
Stock Market Index ◽  
Short Term ◽  
Market Index ◽  
Arima Modeling

The stock market index can be forecasted in two ways --- either through taking those external factors that influence movements in the index or by basing ones predictions on the previous values of the index. The current study has used the method described later by employing the Box-Jenkins methodology --- a method famously used by most researchers while conducting ARIMA modeling--- by taking past figures of KSE 100 Index. Quarterly figures of the Index were, therefore, taken for 22 years from August 1995 to October 2017 that translated into 90 observations. Results revealed that the forecasting model used in the study did well in anticipating returns in the shortrun. The findings of the study can be consumed by investors, particularly short-term, in deciding when, and when not, to risk their hard-earned funds at Pakistan Stock Exchange.

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

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