VOLATILITY IN STOCK RETURN SERIES OF VIETNAM STOCK MARKET
نویسندگان
چکیده
منابع مشابه
Empirical Study on Stock Return Volatility in China's Stock Market
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 کاملCommon Non-linearities in Multiple Series of Stock Market Volatility Common Non-linearities in Multiple Series of Stock Market Volatility *
Decreases in stock market returns often lead to higher increases in volatility than increases in returns of the same magnitude, and it is common to incorporate these so-called leverage effects in GARCH and stochastic volatility models. Recent research has also found it useful to account for leverage in models of realized volatility, as well as in models of the continuous and jump components of ...
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 کاملStock Market Returns, Return Volatility, and Interest Groups*
This paper provides preliminary evidence that interest groups reduce both the level and the volatility of returns on a national stock market. These findings are robust to model specifications that include traditional growth regression “policy” variables as well as political, economic, and financial institutions variables. The estimated magnitude of the relationship between interest group activi...
متن کاملStock 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 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: Science and Technology Development Journal
سال: 2011
ISSN: 1859-0128
DOI: 10.32508/stdj.v14i3.1975