Research on Stock Market Volatility
نویسندگان
چکیده
منابع مشابه
Exchange 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 ...
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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...
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The new paradigm in monetary policymaking gives accent to central banks‘ Independence. It is widely accepted that in modern monetary policymaking, central banks have three key goals: price stability, output stability and financial stability. Recent studies on central bank independence mainly investigate the effects of central bank independence on economic stability. But the effectiveness of cen...
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Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical a...
متن کاملStock Market Volatility and Learning1
We study a standard consumption based asset pricing model with rational investors who entertain subjective prior beliefs about price behavior. Optimal behavior then dictates that investors learn about price behavior from past price observations. We show that this imparts momentum and mean reversion into the equilibrium behavior of the price dividend ratio, similar to what can be observed in the...
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ژورنال
عنوان ژورنال: International Journal of Business and Social Science
سال: 2018
ISSN: 2219-1933,2219-6021
DOI: 10.30845/ijbss.v9n6a16