This article investigates the association between stock market activity and mental well-being, exploiting the availability of interview dates in the British Household Panel Survey to match changes in the FTSE 100 stock price index to respondents over the period 1991–2008. We present evidence that annual changes in the price index are associated with better mental well-being whilst greater uncer...

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this model, the profit comparison a...

this paper investigates the asymmetry in volatility of returns for the iranian stock market using the daily closing values of the tehran exchange price index (tepix) covering the period from march 25, 2001 to july 25, 2012, with a total of 2743 observations. to this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric garch (1,1) model. the...

The Peso Problem Hypothesis has often been advocated in the ...nancial literature to explain the historically puzzlingly high risk premium of stock returns. Using a dynamic model of learning, this paper shows that the implications of the Peso Problem Hypothesis are much more far reaching than the ones commonly advocated, implying most of the stylized facts about stock returns. These include hig...

This article carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use ZIP code–level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature tends to focus on the dynamic role of volatility and housing returns within submarkets over time, our...

We price for different affine stochastic volatility models some derivatives that recently appeared in the market. These products are characterized by payoffs depending on both stock and its volatility. We provide closed-form solution for different products and two multivariate Wishartbased stochastic volatility models. The methodology turns out to be independent of the dimension of the problem....

Purpose: While the bulk of previous research focused on security-level volatility and relationship its determinants, current study considers between number trades, lagged absolute returns, trading volume, bid-ask spread, price Zimbabwe stock market. Methods: The applied Hausman's (1982) tests specification. parameters elasticity explanatory variables have been estimated by utilizing Generalized...

The worldwide increase in share price volatility in recent years has stimulated an abundance of research in an effort to understand individual share price volatility in international markets. The objectives of this study are: (i) to isolate factors suggested by investment theories and practices and to observe their ability to jointly explain share price volatility on the developing Kuala Lumpur...

This paper proposes a class of nonlinear stochastic volatility models. The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including the well known lognormal stochastic volatility model. The new class is based on the Box-Cox transformation and offers an alternative to the one introduced in Andersen (1994). An advantage of our propose...

We introduce a class of stock models that interpolates between exponential Lévy models based on Brownian subordination and certain stochastic volatility models with Lévydriven volatility, such as the Barndorff-Nielsen–Shephard model. The driving process in our model is a Brownian motion subordinated to a business time which is obtained by convolution of a Lévy subordinator with a deterministic ...