We study the impact of foreign institutional investor (FII) flows on stock returns in India. We exploit stock-level daily trading data for FII purchases and FII sales during 2006-2011 to separate stocks into those experiencing abnormally high and low FII flow innovations. We find that stocks with high innovations are associated with a coincident price increase that is permanent, whereas stocks ...

The grey theory is mainly uncertainty directed against the systematic model and fit for incomplete information. This paper adopts the grey prediction methods, GM(1,1) and GM(1,1|optimal α), to investigate the return and volatility of major index futures among American and Eurasian markets. The grey relational theory and GM(1,N) model are further used to observe the volatility spillover effect a...

Article history: Received 12 September 2014 Accepted 20 January 2015 Available online 24 January 2015 We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006, to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and th...

in this paper various arch models and relevant news impact curves including a partially nonparametric (pnp) one are compared and estimated with daily iran stock return data. diagnostic tests imply the asymmetry of the volatility response to news. the egarch model, which passes all the tests and appears relatively matching with the asymmetry in the data, seems to be the most adequate characteriz...

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...

Using factor based approaches, we investigate a return and volatility forecasting procedure that exploits all the available information by still keeping the econometric framework at considerable size. Our findings demonstrate that factor based approaches provide substantial gains when predicting the sign of the excess returns and state of the volatility separately as well as jointly. A striking...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011 (14 million transactions), we find that the intraday evolution of volatility smil...

The main goal of this paper is to study market volatility risk premia. I develop a multifactor model by proposing a pricing kernel, where the market return, the diffusion volatility and the jump volatility are fundamental factors that change the investment opportunity set. Based on estimates of the diffusion and jump volatility factors using an enriched dataset including S&P500 index returns, i...

according to stock price excessive volatility in tehran stock exchange, the price limit mechanism is utilized in order to making the price fluctuation narrow and based on the specific periods, the price limit has encountered some variations which price limit has been determined by try and error within these periods and in a short stage of time many modifications existed through the applications...

We propose an unconditional non-parametric approach to the simultaneous estimation of volatility and expected return. By means of a detailed analysis of the returns of the Standard & Poors 500 (S&P 500) composite stock index over the last fifty years we show how theoretical results and methodological recommendations from the statistical theory of non-parametric curve inference allow one to cons...