Stock Market Books

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This book contains substantially extended and revised versions of the best papers from the 12th International Conference on Enterprise Information Systems (ICEIS 2010), held in Funchal, Madeira, Portugal, June 8-12, 2010.Two invited papers are presented together with 39 contributions, which were carefully reviewed and selected from 62 full papers presented at the conference (out of 448 submissions). They reflect state-of-the-art research work that is often driven by… More >>

The Stock Market: Bubbles, Volatility, and Chaos

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This text was originally submited as a bachelor thesis. It examines whether currency exchange rate changes play any role in determination of stock market volatility in the EU’s New Member states. Using the daily data of six Central and Eastern European countries, we run a GARCH model including the exchange rate variable into the volatility equation. Using a TARCH model we also examine whether the magnitude of stock market volatility depends on the direction of last … More >>

Effects of exchange rate on stock market: The effect of exchange rate changes on stock market volatility in New Member states

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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 Econometrics, published by Elsevier in . 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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In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970-2001. We find evidence of a twofold linkage b… More >>

Breaks and persistency: macroeconomic causes of stock market volatility

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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

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Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models … More >>

Empirical Studies on Volatility in International Stock Markets

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This research explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in the North American Free Trade Area (NAFTA) – Canada, Mexico, and the US. Our examination of interactions of the NAFTA stock markets considers three issues. First, the authors examine the long-run relationship between the three markets, using cointegration techniques. Second, they evaluate the dynamic relationships between the thr… More >>

NAFTA Stock Markets:: Dynamic Return and Volatility Linkages