scholarly journals Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales

2009 ◽  
Author(s):  
Wolfgang Breymann ◽  
David Lüthi ◽  
Eckhard Platen
Keyword(s):  
Time Scales ◽  
Stock Index ◽  
World Stock Index

scholarly journals Empirical behavior of a world stock index from intra-day to monthly time scales

2009 ◽  
Vol 71 (4) ◽  
pp. 511-522 ◽  
Author(s):  
W. Breymann ◽  
D. R. Lüthi ◽  
E. Platen
Keyword(s):  
Time Scales ◽  
Stock Index ◽  
World Stock Index

MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX

2004 ◽  
Vol 07 (04) ◽  
pp. 511-529 ◽  
Author(s):  
ECKHARD PLATEN
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Expected Value ◽  
Quadratic Variation ◽  
Stock Index ◽  
Square Root ◽  
Growth Optimal Portfolio ◽  
World Stock Index ◽  
Diversified World Stock Index

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as reference unit or benchmark. Diversified broadly based indices and portfolios, which include major world stock market indices, are shown to approximate the GOP. It is demonstrated that a key financial quantity is the trend of a world index. It turns out that it can be directly observed since the expected increments of the index equal four times those of the quadratic variation of its square root. Using a world stock index as approximation of the discounted GOP it is shown that, in reality, the trend of the discounted GOP does not vary greatly in the long term. This leads for a diversified world index to a natural model, where the index is a transformed square root process of dimension four. The squared index volatility appears then as the inverse of the square root process. This feature explains most of the properties of an index and its volatility.

scholarly journals Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis

2020 ◽  
Vol 17 (4) ◽  
pp. 202-214 ◽  
Author(s):  
Taufeeque Ahmad Siddiqui ◽  
Haseen Ahmed ◽  
Mohammad Naushad
Keyword(s):  
Financial Markets ◽  
Time Scales ◽  
Time Scale ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Index ◽  
The World ◽  
The Uk ◽  
The Impact ◽  
Wavelet Coherency

COVID-19 has impacted the world economy in an unprecedented manner; the financial markets indicate the same. This spontaneous event landed most of the stock markets into extreme volatility. Large capital outflow and extreme rapid fall were seen among almost all the world financial markets. Though similar trend prevailed everywhere during this pandemic, the impact could not be accumulated in absolute terms. Using the data of five stock markets, the current study endeavored to draw an impact of COVID-19 on major stock exchanges. The study uses wavelet coherency analysis on one-year daily data from June 2019 to May 2020 of five stock markets: Bombay Stock Exchange (BSE), London Stock Exchange (LSE), NASDAQ, Tokyo Stock Exchange (Nikkei), and Shanghai Stock Exchange. It is observed that there are time-variation and scale-variation in co-movements between the studied markets. During the crisis, the co-movement concentrates on a short time scale, even for two days. These results have significant implications for international investors, which will help them in portfolio diversification with time elements. All the stock markets under study have indicated co-movement at different time scales and frequencies with varying cross-power levels. However, the concentration of co-movement is found the most between the UK and the US stock markets. It is the least between Japan and the UK. In BSE, co-movement at shorter time scales started late. NASDAQ is leading only in one case, i.e., Shanghai Stock Exchange. BSE is not leading any stock index. LSE is in the leading position in all four cases. It has also been observed that co-movement started to concentrate at a shorter time scale as soon as the impact of the crisis increased.

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