Research paper on stock market volatility

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Contents:
  1. Risk Volatility Measurement: Evidence from Indonesian Stock Market
  2. Explore our content to discover more relevant research
  3. Related eJournals
  4. Investigating the Asymmetry in Volatility for the Iranian Stock Market

Washington, D. Industrial Production: Edition. Banking and Monetary Statistics: — FamaEugene R. GarbadeKenneth D. Lexington, MA: Lexington Books, Hardouvelis, Gikas A. Hseih, David A. Ibbotson and Associates. Stocks, Bonds, Bills, and Inflation Yearbook , Kupiec, Paul H. Miron, Jeffrey A. MooreThomas G. OfficerRobert R. PoterbaJames M.

Presidential Task Force on Market Mechanisms. Government Printing Office, Schwert, G. Sofianos, George. Econometrica 48 , — Salinger 1 1. Personalised recommendations. Bates, D. Journal of Econometrics , 94 : Beine, M. Journal of International Money and Finance , 21 1 , Bekaert, G.

Risk Volatility Measurement: Evidence from Indonesian Stock Market

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A note Applied Economics , 34 10 , Bollerslev, T. Generalized autoregressive conditional heteroskedasticity Journal of Econometrics , 31 3 , A conditionally heteroskedastic time series model for speculative prices and rates of return. The Review of Economics and Statistics , 69 3 , Journal of Econometrics , 2 , Leverage and volatility feedback effects in high-frequency data. Journal of Financial Econometrics , 4 3 , — Brooks, C. Introductory econometrics for finance 2nd ed.

Explore our content to discover more relevant research

Cambridge: Cambridge University Press. Campbell, J. No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics , 31 3 , Chan, K. Global financial markets and the risk premium on U. Journal of Financial Economics , 32 2 , Charles, A. The day-of-the-week effects on the volatility: The role of the asymmetry. European Journal of Operational Research , 1 , Charlse, A.

The day-of-the-week effects on the volatility: The role of asymmetry.

Cheng, A. An empirical investigation of stock market behaviour in the Middle East and North Africa Journal of Empirical Research , 17 3 , Chiang, T. Review of Quantitative Finance and Accounting 17 3 , Christie, A. The stochastic behavior of common stock variances: Value, leverage, and interest rate effects. Journal of Financial Economic Theory , 10 4 , Curto, J. Portuguese Economic Journal , 8 1 , Daouck, H.

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Grange r, , Oxford: Oxford University Press. Econometrica , 50 4 , Measuring and testing the impact of news on volatility.

The Journal of Finance , 48 5 , What good is a volatility model? Quantitative Finance , 1 2 , Figlewski, S. French, K. Expected stock returns and volatility. Journal of Financial Economics , 19 1 , 3 — Glosten, L. On the relation between the expected value and the volatility of the nominal excess returns on stocks. Goudarzi, H. Modeling asymmetric volatility in the Indian stock market. International Journal of Business and Management , 6 3 , Henry, O. Modelling the asymmetry of stock market volatility. Applied Financial Economics , 8 2 , Hibbert, A.

A behavioral explanation for the negative asymmetric return-volatility relation.

Investigating the Asymmetry in Volatility for the Iranian Stock Market

Hung, S. Threshold and leverage effects of major Asian stock markets based on stochastic volatility models. International Research Journal of Finance and Economics , 27 1 , Jayasuriya, S. Asymmetric volatility in emerging and mature markets. Journal of Emerging Market Finance , 8 1 , Jegajeevan, S. Return volatility and asymmetric news effect in Sri Lankan stock market. Staff Studies , 40 1 , 37 Karmakar, M.

1 INTRODUCTION

Asymmetric volatility and risk-return relationship in the Indian stock market South Asia Economic Journal , 8 1 , Koutmos, G. Asymmetric price and volatility adjustments in emerging Asian stock market. Saidi R. The leverage effect in individual stocks and the debt to equity ratio.

The Unexpected "Why" Behind This Stock Market Volatility

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