Stock Market Books

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Using return series with various differencing intervals that are as short as half-hour and as long as two weeks, I investigate the short-term volatility accentuation in five equity markets: the Nasdaq Stock Market and the New York Stock Exchange in the US, and the London Stock Exchange, Deutsche Boerse and Euronext Paris in Europe. Results confirm an intra-day reverse J-shaped pattern of half-hour volatility in these markets. In addition, I find evi… More >>

Volatility and Price Discovery in Stock Markets: An Intra-day Analysis of the New York Stock Exchange, Nasdaq Stock Market, London Stock Exchange, Euronext Paris and Deutsche Boerse

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This digital document is a journal article from Journal of International Financial Markets, Institutions & Money, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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This paper investigates interactions between Chinese A shares and B shares traded on the Shanghai stock exchange (SHSE) and the … More >>

Return and risk interactions in Chinese stock markets

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Most previous studies which have examined the equity investment and share valuation process have been undertaken for the large and sophisticated capital markets of developed countries. Very little attention has been paid to this process in emerging stock markets; research on the Nigerian stock market has remained especially limited. The limited research that has been undertaken for the Nigerian stock market has focused on small samples of data, stu… More >>

Share Valuation and Stock Market Analysis in Emerging Markets: The Case of Nigeria

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Lots of effort has been expended in improving volatility models since better forecasts translate in to better pricing of assets and better risk management. However the question as to what model should be used to calculate volatility, there is no unique answer as different volatility models were proposed in the literature and were being used by practitioners. To answer which VaR model adequately capture the market risk, three VaR models are tested on stock indices fr… More >>

VaR based on SMA, EWMA and GARCH Volatility models: Modelling and Forecasting the Volatility of Thin Emerging Stock Markets using different models: A case of former Yugoslavian states

Energing Stock Markets Review Performance, Valuations and Constituents

Market Microstructure: Inventory Management – Bid-Ask Spread and Pricing in Stock Markets in terms of Inventory Costs

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This digital document is a journal article from Research in International Business and Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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This paper examines the interrelationship between stock prices in the US and Korea by applying the vector autoregression (VAR) model to the daily … More >>

The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks