Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with rest...

The present study examines the stock return volatility relationship of emerging economies from 2007 to 2013 which also includes the financial crisis of 2008 and its impact on emerging economies of the world. For the methodology, GARCH model is used to examine the impact of news coming from US which is affecting the returns of global index S&P 500 as well as the returns generated by the indices ...

We investigate the collective behaviors of short-selling and margin-trading between Chinese stocks and their impacts on the co-movements of stock returns by cross-correlation and partial correlation analyses.We find that the collective behaviors ofmargin-trading are largely attributed to the index cohesive force, while those of short-selling are mainly due to some direct interactions between st...

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...

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance—but still mean reverting—behavior is commonly found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully parametric Bayesian estimator, rob...

This paper uses the Singapore and the Thailand’s stock prices of material from January 4, 2000 to July 20, 2007, discussing the model construction and their associations of between Singapore and Thailand’s stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Singapore and the Thailand’s stock markets may c...

This paper evaluates the determinants of bank performance in China. In particular, we examine the effects of stock market volatility, competition and ownership on bank performance in China. The sample comprises a total of 11 banks (four state-owned and seven joint-stock commercial banks) listed in the Chinese Stock Exchanges. The period under consideration extends from 2003-2009. The Generalize...

This paper evaluates the determinants of bank performance in China. In particular, we examine the effects of stock market volatility, competition and ownership on bank performance in China. The sample comprises a total of 11 banks (four state-owned and seven joint-stock commercial banks) listed in the Chinese Stock Exchanges. The period under consideration extends from 2003-2009. The Generalize...

This paper provides empirical study on the behavior of the Shanghai and the Shenzhen stock exchanges after the Chinese government announced to increase the securities transaction tax from 0.3% to 0.5% in May 9, 1997. We examine the impact of the increased transaction tax on the volatility of stock returns and tax revenue. We find that the return volatility significantly increased. We also find ...