market volatility
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Author(s):  
Luiz Vitiello ◽  
Ser-Huang Poon

AbstractBased on a standard general equilibrium economy, we develop a framework for pricing European options where the risk aversion parameter is state dependent, and aggregate wealth and the underlying asset have a bivariate transformed-normal distribution. Our results show that the volatility and the skewness of the risk aversion parameter change the slope of the pricing kernel, and that, as the volatility of the risk aversion parameter increases, the (Black and Scholes) implied volatility shifts upwards but its shape remains the same, which implies that the volatility of the risk aversion parameter does not change the shape of the risk neutral distribution. Also, we demonstrate that the pricing kernel may become non-monotonic for high levels of volatility and low levels of skewness of the risk aversion parameter. An empirical example shows that the estimated volatility of the risk aversion parameter tends to be low in periods of high market volatility and vice-versa.


2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mwangele Kaluba ◽  
Yudhvir Seetharam

PurposeWhile the momentum anomaly is prevalent in South Africa, few have examined the reasons influencing it. This study examines whether momentum profits vary through time and are affected by the state of the market and market volatility between 1998 and 2019.Design/methodology/approachThe authors consider combinations of portfolio construction, such as the lookback period, weighting scheme, measure of volatility and the volatility window period. They further examine the interaction of momentum with sentiment, default risk and semi-deviation as a measure of risk, as a means of testing whether behavioural factors have significant influence.FindingsThe results generally show that neither volatility nor market state has explanatory power on momentum profits.Originality/valueThese results make the momentum anomaly in South Africa an even greater mystery than before as they do not conform to the existing literature from developed economies. The authors do, however, find that default risk is a significant predictor of momentum profits, which is a useful additional factor for those fund managers who utilise momentum strategies. This implies that a fundamental factor, default risk, is a potential explanation for the market-related momentum anomaly.


2022 ◽  
Author(s):  
Amal Wijenayaka

The world is rapidly changing. As a result, organizations have to find new ways to compete with close competitors. It is challenging to use traditional methods and ways. Advertising and price war are not gaining sustainable competitive advantage further. Most past researches mentioned that Innovation is the key to future success. Furthermore, it is required to transform to digitalization. It provides new insight into the organization. Market volatility is a huge challenge to the organization. However, it can be managed with digitalization and Innovation.


2022 ◽  
Vol 59 ◽  
pp. 101517
Author(s):  
Fernando Díaz ◽  
Pablo A. Henríquez ◽  
Diego Winkelried

2022 ◽  
pp. 204-230
Author(s):  
Ezaz Ahmed ◽  
Md. Mahadi Hasan ◽  
Zakir Hossen Shaikh ◽  
Mohammad Irfan

Researchers examine stock volatility in emerging (E7) nations prior to and during COVID-19 announcements using multiple volatility estimations. The correlation coefficient matrix indicates that there is a strong positive correlation between the specified volatility estimators in the pre-COVID-19 and post-COVID-19 periods. Rogers-Satchell standard deviation has the first rank, and Garman-Klass has the last position in the pre-post-COVID-19 analysis volatility estimators. However, the authors discover a considerable influence of pre-post COVID-19 on the world's E7 countries. The findings' primary implication is that post-COVID-19 volatility is greater than pre-COVID-19 volatility. This means that investors' financial portfolios should be rebalanced to favor industries that are less impacted by COVID-19. Additionally, it serves as an early warning signal for investors and the government to take preventative measures in the event that it occurs again in the future.


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