Stock market volatility is the systematic risk faced by investors who hold a market portfolio (e.g., a stock market index fund). Schwert (1989b) has undertaken an extensive study of stock market volatility, using historical data back to the 19th century. Some of his major findings are illustrated in Figure 1, which plots quarterly stock market volatility for the post-World War II period.1 The f...

Using a new hand-collected data set, this study examines the stock price manipulation in the Taiwan Stock Exchange (TSE). We examine the characteristics of the manipulated stocks, and their impacts on market quality. The results show that manipulated stocks tend to be small. The stock prices rise throughout the manipulation period, followed by a price reversal. The average cumulative abnormal r...

This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic volatility model. The distribution of the logarithm of the squared return is flexibly modelled using an infinite mixture of Normal distributions. This allows efficient Markov chain Monte Carlo methods to be developed. Links between the return distribution and the distribution of the logar...

the present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. when return series exhibit long memory, it indicates that observed returns are not independent over time. if returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. it poses a serious challenge to ...

  The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....

Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical a...