Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the correlations. We extend some models to capture explicitly the dependence of the correlations on the volatil...

Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the correlations. We extend some models to capture explicitly the dependence of the correlations on the volatil...

The efficient market hypothesis based primarily on the statistical principle of Bayesian inference has been proved to be only a special-case scenario. The generalized financial market, modeled as a binary, stochastic system capable of attaining one of two possible states (High  1, Low  0) with finite probabilities, is shown to reach efficient equilibrium with p . M = p if and only if the tran...

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the num...

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are obser...

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the num...

In this paper we investigate the impact of the switching from the same-day settlement to the following-day settlement on the market volatility and its structure. Using the Levene tests and bootstrap procedures, we find that the switching causes a drastic decrease in the stock market volatility. In addition, using a modified GARCH model, we also find a substantial change in the volatility struct...

This study contrasts the call and continuous auction methods using Taiwan Stock Exchange data. Volatility under the call market method is approximately one-half of that under the continuous auction method. The call market method is more effective in reducing the volatility of high-volume stocks than low-volume stocks. This contradicts conventional wisdom which suggests that the call market meth...

We investigate the Treasury bill (T-bill) market for volatility effects, and especially any volatility introduced by the T-bill auction process. We use daily T-bill yields for on-therun 13-, 26-, and 52-week T-bills from January 1983 through December 2000. We find that T-bill volatility is not constant across a run, hence is not consistent with the Treasury's auction process intent of a stable ...

Changes in the prices of aluminium and copper are often closely aligned with changes in global industrial production, but also reflect market specific events, compliment and substitute relationships between the physical metals in production, and financial market type influences. Brunetti and Gilbert [1995] characterise two sources of volatility in non-ferrous metals markets, those related to fi...