Rational Bubbles and Volatility Persistence in India Stock Market
نویسندگان
چکیده
منابع مشابه
Stock Market Volatility in India
Volatility as a phenomenon as well as a concept remains central to modern financial markets and academic research. The link between volatility and risk has been to some extent elusive, but stock market volatility is not necessarily a bad thing. In fact, fundamentally justified volatility can form the basis for efficient price discovery. In this context volatility dependence that implies predict...
متن کاملExchange rate volatility and its effect on stock market volatility
This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...
متن کاملEvaluation of Multiple Bubbles in the Stock Market of Tehran
عدم تشخیص حبابهای قیمت دارایی و نوع آن (یگانه و چندگانه) موجب اثرات مخربی بر اقتصاد میشود. ابزارهای اقتصادی جدید، نه تنها تحلیل رفتار انفجاری ملایم حباب را ممکن گردانیده؛ بلکه تعیین تاریخ شروع و خاتمه آنها را نیز مهیا کرده است. هدف مطالعه حاضر کشف حبابهای قیمت بورس اوراق بهادار تهران و شرکت فرابورس ایران و تعیین تاریخهای شروع، انفجار و محو کامل حباب در دوره 01/1389 تا 01/1395 است. در این ر...
متن کاملStock Market Bubbles and Unemployment∗
This paper incorporates endogenous credit constraints in a search model of unemployment. These constraints generate multiple equilibria supported by self-fulfilling beliefs. A stock market bubble exists through a positive feedback loop mechanism. The collapse of the bubble tightens the credit constraints, causing firms to reduce investment and hirings. Unemployed workers are hard to find jobs g...
متن کاملUnderstanding Stock Market Volatility
One of the most prominent features of the U.S. stock market is the close connection between aggregate stock market volatility and the development of the business cycle. Figure 1 depicts the statistical relation between stock market volatility and the industrial production growth rate over the last sixty years, which shows that stock volatility is largely countercyclical, being larger in bad tim...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2174840