Abstract
 Stock price volatility is a risk that must be faced by shareholders when owning share. High indicates company’s stock move very quickly and the difference between highest lowest significant. can influenced several factors, one of factor dividend policy which consists payout ratio yield. Dividends carry information show performance so cause reaction in market affect price. This st...

A b s t r a c t a r t i c l e i n f o JEL classification: C23 G15 Q43 Keywords: Asymmetric effects International stock markets Oil prices Panel data Oil price volatility Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effect...

The A-share stock price of state-owned shipping enterprises is higher than the discount value constantly. It implies an American call option for a speculator, so contains and value. In order to help investors find real obtain returns under high volatility caused by fluctuations cycle or market valuation cycle, Least Square Monte Carlo Simulation (LSM) method used calculate implied with date COS...

Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. We show that stochastic volatility models like the Ornstein-Uhlenbeck and other continous-time CARMA models as well as continous-time GARCH and EGARCH models all exhibit such functional relations. We investigate the asymptotic behaviour of certain functi...

We develop a new approach for pricing European-style contingent claims written on the time T spot price of an underlying asset whose volatility is stochastic. Like most of the stochastic volatility literature, we assume continuous dynamics for the price of the underlying asset. In contrast to most of the stochastic volatility literature, we do not directly model the dynamics of the instantaneou...

The aim of this paper is to present a stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence. We consider the option price as a sum of classical Black-Scholes price and random deviation describing the risk from the random volatility. By using the ...

s tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. this study investigates the effect of exchange rate volatility on the stock exchange returns of d8 countries. it takes monthly data during the period (2008:1-2015:6) constituting 90 observations. at first we used panel-garch model to estimate exchange rate volatility in...

I use daily futures price data to examine the behavior of natural gas and crude oil price volatility in the U.S. since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shock...

In this paper, we study how short-sale constraints affect asset price and market efficiency. We consider a fully rational expectations equilibrium model, in which investors trade for two reasons, to share risk and to speculate on private information, but they face short-sale constraints. Short-sale constraints limit both types of trades, and thus reduce the allocational and informational effici...

as the world trade is growing, exchange rate acts as a bridge between different economies and its volatility can affect price level, output, exports and imports. the purpose of this study is to investigate the effects of real exchange rate volatility on the export demand for the two products of apple and potato in the nine developing counteries of producing and exporting the two products during...