scholarly journals Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19

2021 ◽  
Vol 14 (7) ◽  
pp. 314
Author(s):  
Najam Iqbal ◽  
Muhammad Saqib Manzoor ◽  
Muhammad Ishaq Bhatti
Keyword(s):  
Stock Returns ◽  
Garch Model ◽  
Bad News ◽  
Good News ◽  
Fiscal Policies ◽  
News Shocks ◽  
Australian Health ◽  
Egarch Model ◽  
Negative Effect ◽  
The Garch Model

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH (EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on the Australian health system and its economy as bad news, and on the other hand, measures taken by government economic stimulus packages through their monetary and fiscal policies as good news. The S&P ASX200 (ASX-200) index is used as a proxy to the Australian stock market, and we use value-weighted returns of the stocks listed on ASX-200 for the period 27 January 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative (positive) shocks on the conditional volatility compared to its variant with the news.

scholarly journals IMPACT OF POLITICAL INSTABILITY AND TERRORISM ON STOCK RETURNS: EVIDENCE FROM PAKISTAN

2013 ◽  
Vol 01 (02) ◽  
pp. 47-54
Author(s):  
Hasan Raza ◽  
Shafaq Malik
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Returns ◽  
Political Instability ◽  
Bad News ◽  
Good News ◽  
Stock Market Volatility ◽  
Egarch Model ◽  
Year 2000 ◽  
The Impact

This study examines the impact of terrorist activities and regime in Pakistan on the return and volatility dynamics of the financial markets in Pakistan between year 2000 and 2010. The study constructs two dummy variables that quantify political instability and terror and examine the effect on stock market volatility. An ARCH and GARCH model to discover evidence that terrorism and regime has a significant impact on both the return and volatility dynamics of stock markets. To capture the asymmetries in terms of negative and positive shocks, this study also uses threshold GARCH (TGARCH) and an exponential GARCH (EGARCH) model. From both of the TGARCH and EGARCH results, it can be reveal that for the return of KSE-100, there are asymmetries in the news that shows bad news has a larger effect on the volatility of return than good news. Finally study of the reaction of the stock market to terrorist events may also provide indication to investors and speculators to adjust their positions when such events transpire.

scholarly journals Asymmetric Information and Volatility of Stock Returns in Nigeria

2017 ◽  
Vol 9 (3) ◽  
pp. 220 ◽  
Author(s):  
Joshua Odutola Omokehinde ◽  
Matthew Adeolu Abata ◽  
Russell Olukayode Christopher Somoye ◽  
Stephen Oseko Migiro
Keyword(s):  
Asymmetric Information ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Bad News ◽  
Good News ◽  
Significance Level ◽  
Asymmetric Power ◽  
Long Time ◽  
Best Fit ◽  
Total Impact

This paper investigates the effect of asymmetric information on volatility of stock returns in Nigeria using the best-fit Asymmetric Power Autoregressive Conditional Heteroskedasticity, APARCH (1,1) model, under the Generalized Error Distribution (GED) at 1% significance level from 3 January 2000 to 29 November 2016. The descriptive statistical results showed that the returns were not normally and linearly distributed, with strong evidence of a heteroskedasticity effect. The results of the analysis also confirmed the effect of asymmetric information on the volatility of stock returns in the Nigerian stock market. The asymmetric parameter (γ) was negative at (-1.00), which is statistically significant at 1% level. This confirms that there is an asymmetric or leverage effect where bad news had a more destabilizing effect on the volatility of stock returns than good news. The total impact of bad news on volatility was explosive at 2.0, during the period under review. Also, the volatility persistence which is measured by the sum of ARCH(α) and GARCH(β) stood at 1.695950. This is above unity and suggests that volatility takes a long time to attenuate in Nigeria. This could be largely ascribed to the persistent effect of the 2008 global financial crisis, which probably eroded investors’ confidence in the market.

scholarly journals Asymmetric Information and Volatility of Stock Returns in Nigeria

2017 ◽  
Vol 9 (3(J)) ◽  
pp. 220-231
Author(s):  
Joshua Odutola Omokehinde ◽  
Matthew Adeolu Abata ◽  
Olukayode Russell ◽  
Stephen Oseko Migiro ◽  
Christopher Somoye
Keyword(s):  
Asymmetric Information ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Bad News ◽  
Good News ◽  
Significance Level ◽  
Asymmetric Power ◽  
Long Time ◽  
Best Fit ◽  
Total Impact

This paper investigates the effect of asymmetric information on volatility of stock returns in Nigeria using the best-fit Asymmetric Power Autoregressive Conditional Heteroskedasticity, APARCH (1,1) model, under the Generalized Error Distribution (GED) at 1% significance level from 3 January 2000 to 29 November 2016. The descriptive statistical results showed that the returns were not normally and linearly distributed, with strong evidence of a heteroskedasticity effect. The results of the analysis also confirmed the effect of asymmetric information on the volatility of stock returns in the Nigerian stock market. The asymmetric parameter (γ) was negative at (-1.00), which is statistically significant at 1% level. This confirms that there is an asymmetric or leverage effect where bad news had a more destabilizing effect on the volatility of stock returns than good news. The total impact of bad news on volatility was explosive at 2.0, during the period under review. Also, the volatility persistence which is measured by the sum of ARCH(α) and GARCH(β) stood at 1.695950. This is above unity and suggests that volatility takes a long time to attenuate in Nigeria. This could be largely ascribed to the persistent effect of the 2008 global financial crisis, which probably eroded investors’ confidence in the market.

scholarly journals THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX

2020 ◽  
Vol 1 (1) ◽  
pp. 18-28
Author(s):  
Endang Soeryana Hasbullah ◽  
Endang Rusyaman ◽  
Alit Kartiwa
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Garch Model ◽  
Test Method ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Market Index ◽  
Causality Relationship ◽  
The Garch Model ◽  
The Relationship

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.

scholarly journals The Effect of Board Composition on Conservatism: Empirical Evidence from Tehran Stock Exchange (TSE)

2012 ◽  
Vol 3 (1) ◽  
pp. 17-24
Author(s):  
Keramat Ollah Heydari ◽  
Saber Samadi . ◽  
Hamid Asadzadeh . ◽  
Ahmad Kazemi Margavi . ◽  
Hemad Nazari .
Keyword(s):  
Data Analysis ◽  
Stock Returns ◽  
Board Of Directors ◽  
Capital Market ◽  
Stock Exchange ◽  
Financial Statements ◽  
Bad News ◽  
Good News ◽  
Board Composition ◽  
The Board Of Directors

Conservative is misinterpreted as capturing accountants 'tendency to require higher degree of verification for recognizing good news than bad news in financial statements. Under this interpretation of conservatism, earnings reflect bad news more quickly than good news. By using firms' stock returns to measure news, the asymmetric time lineless of recognizing good news and bad news can be examined as a measure of conservative behavior and as them an in question of this research in Irani and capital market. This research examines effect of composition of the board of directors of the companies listed in Tehran Stock Exchange (TSE) on conservative. Data analysis for seven years (2003-2010) shows that companies with a more in dependent board are more conservative. It means that these companies report bad news more timeliness than good news. The results of the research results confirm and reinforce previous researches.

scholarly journals Comparing the Leverage Effect of Different Frequencies of Stock Returns in an Emerging Market: A Case Study of Pakistan

2011 ◽  
Vol 3 (6) ◽  
pp. 283-288
Author(s):  
Amir Rafique
Keyword(s):  
Stock Returns ◽  
Emerging Market ◽  
Garch Model ◽  
Leverage Effect ◽  
Low Frequencies ◽  
High Frequencies ◽  
Asymmetric Shocks ◽  
Egarch Model ◽  
Variance Structure

This study compares the volatility behavior and variance structure of high (daily) and low (weekly, monthly) frequencies of data. The study used seventeen years data from 1991 to 2008 of KSE-100 index. By employing Exponential GARCH (EGARCH) model (asymmetric type GARCH model), the study finds evidence that there are significant asymmetric shocks (leverage effect) to volatility in the three series but the intensity of the shocks are not equal for all the series. The results show that the variance structure of high frequencies data is dissimilar from the low frequencies data.

scholarly journals The Implications Of Accounting Conservatism For The Relation Between Earnings And Stock Returns

2011 ◽  
Vol 6 (12) ◽  
Author(s):  
Jinhan Pae
Keyword(s):  
Stock Returns ◽  
Econometric Analysis ◽  
Accounting Conservatism ◽  
Bad News ◽  
Good News ◽  
Font Size ◽  
Robust Test ◽  
Slope Coefficient ◽  
Noise Ratio

<p class="MsoNormal" style="text-justify: inter-ideograph; text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Characterizing accounting conservatism as the accountants&rsquo; tendency to require a higher degree of verification for recognizing good news than bad news, Basu (1997) predicts that the slope coefficient and R<sup>2</sup> in a regression of earnings on concurrent stock returns will be higher for bad news (negative stock returns) than for good news (positive stock returns). However, standard econometric analysis indicates that the R<sup>2</sup> is a function of the sensitivity of earnings to returns and the noise ratio, which is defined as the ratio of the variance of noise in earnings to the variance of noise in returns. I show that the R<sup>2</sup> from the regression of earnings on stock returns is not necessarily higher for bad news than for good news. So the test of R<sup>2</sup> is not a robust test of accounting conservatism. Consistent with the prediction, I find that the slope coefficient is higher for bad news firms reporting losses than for good news firms reporting profits, but R<sup>2</sup> is lower for bad news firms reporting losses than for good news firms reporting profits. </span></span></p>

scholarly journals Volatility Estimation Using Symmetric and Asymmetric Models in Oil Exporting Emerging Markets

2019 ◽  
Vol 11 (1) ◽  
pp. 41
Author(s):  
Latha Sreeram
Keyword(s):  
Size Effect ◽  
Emerging Markets ◽  
Stock Returns ◽  
Risk Premium ◽  
Time Series Data ◽  
Information Criterion ◽  
Good News ◽  
Series Data ◽  
Volatility Clustering ◽  
Egarch Model

The study empirically investigates the volatility pattern of thirteen emerging economies which are predominantly oil exporting countries. It is based on the time series data which consists of monthly closing price data of their index for a ten-year period from 01 January 2008 to 31 December 2017. Emerging markets are considered as investment destinations due to the presence of risk premium which has made the stock markets of these countries more volatile. Added to this is that these countries underwent crisis due to the sharp decline in crude oil prices as they were primarily dependent on oil exports. Hence it is a significant to study the volatility behavior of these countries.  The study has been done by employing both symmetric and asymmetric models of generalized autoregressive conditional heteroscedastic. As per Akaike Information Criterion (AIC), Log likelihood and Schwarz Information Criterion (SIC) the study provides evidence that GARCH (1,1) and TGARCH(1,1) estimations are found to be the most appropriate model that fits symmetric and asymmetric volatility respectively for all the thirteen countries. There was evidence of volatility clustering and leptokurtic in all the countries considered in the study. While EGARCH model revealed no support of existence of leverage on the stock returns, TGARCH supported existence of leverage in case of four countries. The tests for asymmetries in volatility indicate the size effect of the news, reaffirmed through the results of sign bias tests and news impact curves, which indicate that the size effect is stronger for bad news than the good news for countries which supported existence of leverage.

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