Evaluation of Evidence for Banking Equity Market Volatility in the Emerging Economy of China

2009 ◽  
pp. 237-248
Author(s):  
Jack Penm ◽  
R Terrell
Keyword(s):  
Equity Market ◽  
Emerging Economy ◽  
Market Volatility ◽  
Evaluation Of Evidence

scholarly journals Emerging Equity Market Volatility

10.3386/w5307 ◽  
1995 ◽  
Author(s):  
Geert Bekaert ◽  
Campbell Harvey
Keyword(s):  
Equity Market ◽  
Market Volatility

Emerging Equity Market Volatility

2005 ◽  
Vol 6 (1-2) ◽  
pp. 139-154 ◽  
Author(s):  
George Ogum ◽  
Francisca Beer ◽  
Genevieve Nouyrigat
Keyword(s):  
Equity Market ◽  
Market Volatility

scholarly journals Granger causality in volatility between Australian equity and debt markets: A Bayesian analysis

2011 ◽  
Vol 9 (1) ◽  
pp. 587-596
Author(s):  
Andrew D. Sanford
Keyword(s):  
Stochastic Volatility ◽  
Granger Causality ◽  
Equity Market ◽  
Information Criteria ◽  
Causal Models ◽  
Stochastic Volatility Model ◽  
Market Volatility ◽  
Volatility Model ◽  
Debt Markets ◽  
Show Evidence

This paper is concerned with identifying Granger causality in the volatilities of returns between the Australian equity and debt markets. Using a bivariate stochastic volatility model previously described by Yu and Renate (2006), we estimate and compare four causal models between equity market volatility, and the short term and long term debt market volatilities. The causal models are compared with two non-causal, bivariate stochastic volatility models. Models comparisons are performed using the Deviance Information Criteria (DIC). Modelling results suggest that bond market volatility Granger causes equity market volatility. Equity volatility and money market volatility show evidence of Granger causality between the two, but no dominate causal direction is identified suggesting causal feedback between the two market volatilities.

scholarly journals The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data

2019 ◽  
Vol 8 (3) ◽  
pp. 138 ◽  
Author(s):  
Rangan Gupta ◽  
Mark Wohar
Keyword(s):  
Monetary Policy ◽  
United Kingdom ◽  
Equity Market ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
The United Kingdom ◽  
Out Of Sample ◽  
Key Factor ◽  
Risk Free Rate

Theory suggests a strong link between monetary policy rate uncertainty and equity return volatility, since asset pricing models assume the risk-free rate to be a key factor for equity prices. Given this, our paper uses historical monthly data for the United Kingdom over 1833:01 to 2018:07, to show that monetary policy uncertainty increases stock market volatility within sample. In addition, we show that the information on monetary policy uncertainty also adds value to forecasting out-of-sample equity market volatility. 

scholarly journals Market fear, investor mood, sentiment, economic uncertainty and tourism sector in the United States amid COVID-19 pandemic: A spillover analysis

2021 ◽  
pp. 135481662110528
Author(s):  
Faisal Nazir Zargar ◽  
Dilip Kumar
Keyword(s):  
Media Coverage ◽  
Spillover Effects ◽  
The United States ◽  
Equity Market ◽  
Market Volatility ◽  
Economic Uncertainty ◽  
Tourism Sector ◽  
The Us ◽  
Media Hype ◽  
Sector Returns

The study investigates and confirms the spillover effects from investor fear, mood, sentiment and uncertainty to the US tourism sector returns. The findings indicate that market fear, investor mood and sentiment are net transmitter of shocks and economic uncertainty and the tourism sector is net receiver of shocks. We also provide evidence that media-hype, infodemic, media-coverage related to COVID-19 and infectious disease equity market volatility impacts the total and directional spillover of information from fear, mood, sentiment and uncertainty to the tourism sector.

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