This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as well as developments at the money and especially at the oil market strongly affect returns of the energy...

The determination of stock prices and equilibrium expected rates of return in a general equilibrium setting is still imperfectly understood. In particular, as Grossman and Shiller (1981) and others have argued, stock returns appear to be too volatile given the smooth process for dividends and consumption growth. Mehra and Prescott (1985) claim that this smoothness in consumption and dividend gr...

the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...

We propose a model to describe stock pinning on option expiration dates. We argue that if the open interest on a particular contract is unusually large, delta-hedging in aggregate by floor market-makers can impact the stock price and drive it to the strike price of the option. We derive a stochastic differential equation for the stock price which has a singular drift that accounts for the price...

in this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been tehran distance. the sample consisted of 76 company the systematic elimination method is selected. the company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses eviews software i...

Volatility is the key of the option price in the stock market. Changes in volatility will dramatically lead to changes of the option price. One of the most important volatilities is historical volatility (HV ). The HV is essentially the annualized standard deviation of the first order difference of logarithm of the asset price. Therefore, changes in HV in finance may be detected by the variance...

Feng Dai E-mail: [email protected]; [email protected] Abstract. In this discussed draft, we want to present the Partial Distribution (F.Dai, 2001) for discussing. We compare the partial distribution with lognormal and levy distribution. Though the levy distribution is better to describe the prices distribution of stock and stock indexes in a moderately large volatility range, the lognormal...

Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study the first to explain concepts through an information environment approach and examination of asymmetry. aims analyze phenomenon risk whether it related price informativeness or error, by considering environment. We identified based liquidity levels stock risk. Our research revealed relatio...

We develop a flexible and analytically tractable framework which unifies the valuation of corporate liabilities, credit derivatives, and equity derivatives. We assume that the stock price follows a diffusion, punctuated by a possible jump to zero (default). To capture the positive link between default and equity volatility, we assume that the hazard rate of default is an increasing affine funct...

Large stock price movements are modeled as jumps in the stochastic processes of stock prices. In the current literature, the jump intensity is typically specified in models as a function of the current diffusive volatility and past jump intensities, while the jump size is assumed to be independent of the jump intensity. We use a nonparametric jump detection test to identify jumps in several sto...