Market Volatility, Liquidity, and Stock Returns

2015 ◽  
Author(s):  
Kee H. Chung ◽  
Chairat Chuwonganant
Keyword(s):  
Stock Returns ◽  
Market Volatility

scholarly journals Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Risks ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 89
Author(s):  
Muhammad Sheraz ◽  
Imran Nasir
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Approximate Entropy ◽  
Market Volatility ◽  
Comparative Approach ◽  
Stock Market Volatility ◽  
Information Theoretic ◽  
Information Theoretic Measures ◽  
Garch Modeling

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters.

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance

2005 ◽  
Vol 87 (2) ◽  
pp. 273-278 ◽  
Author(s):  
Wei David Zhang ◽  
Mojtaba Seyedian ◽  
Jinliang Li
Keyword(s):  
Stock Returns ◽  
Market Volatility

Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal

2013 ◽  
Vol 112 (1) ◽  
pp. 89-99 ◽  
Author(s):  
Mark J. Kamstra ◽  
Lisa A. Kramer ◽  
Maurice D. Levi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daylight Saving Time ◽  
Daylight Saving ◽  
Time Changes ◽  
Saving Effect

In a 2011 reply to our 2010 comment in this journal, Berument and Dogen maintained their challenge to the existence of the negative daylight-saving effect in stock returns reported by Kamstra, Kramer, and Levi in 2000. Unfortunately, in their reply, Berument and Dogen ignored all of the points raised in the comment, failing even to cite the Kamstra, et al. comment. Berument and Dogen continued to use inappropriate estimation techniques, over-parameterized models, and low-power tests and perhaps most surprisingly even failed to replicate results they themselves reported in their previous paper, written by Berument, Dogen, and Onar in 2010. The findings reported by Berument and Dogen, as well as by Berument, Dogen, and Onar, are neither well-supported nor well-reasoned. We maintain our original objections to their analysis, highlight new serious empirical and theoretical problems, and emphasize that there remains statistically significant evidence of an economically large negative daylight-saving effect in U.S. stock returns. The issues raised in this rebuttal extend beyond the daylight-saving effect itself, touching on methodological points that arise more generally when deciding how to model financial returns data.

Forecasting Stock Market Volatility: Evidence from Six Emerging Markets

2013 ◽  
Vol 14 (2) ◽  
pp. 68-93
Author(s):  
Naliniprava Tripathy ◽  
Ashish Garg
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Price ◽  
Market Volatility ◽  
Future Market ◽  
Investment Strategies ◽  
Stock Market Volatility ◽  
Efficient Management ◽  
Asymmetric Garch

This paper forecasts the stock market volatility of six emerging countries by using daily observations of indices over the period of January 1999 to May 2010 by using ARCH, GARCH, GARCH-M, EGARCH and TGARCH models. The study reveals the positive relationship between stock return and risk only in Brazilian stock market. The analysis exhibits that the volatility shocks are quite persistent in all country’s stock market. Further the asymmetric GARCH models find a significant evidence of asymmetry in stock returns in all six country’s stock markets. This study confirms the presence of leverage effect in the returns series and indicates that bad news generate more impact on the volatility of the stock price in the market. The study concludes that volatility increases disproportionately with negative shocks in stock returns. Hence investors are advised to use investment strategies by analyzing recent and historical news and forecast the future market movement while selecting portfolio for efficient management of financial risks to reap benefits in the stock markets.

A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects

2018 ◽  
Vol 23 (2) ◽  
Author(s):  
Chang-Jin Kim ◽  
Yunmi Kim
Keyword(s):  
Stock Returns ◽  
Market Volatility ◽  
Unified Framework ◽  
Macroeconomic Factors ◽  
Financial Factors ◽  
Expected Stock Returns ◽  
Business Conditions ◽  
Volatility Feedback ◽  
News Effects ◽  
Future Business

Abstract One of central questions to macroeconomics and finance has been whether macroeconomic factors are useful predictors for expected stock returns. The general consensus is somewhat surprising in that financial factors, rather than macroeconomic factors, have predictive power on stock returns. Such predictability of financial factors is justified on the ground that those factors can act as a proxy for future business conditions and undiversifiable risk. Hence, they should be priced in terms of expected returns. However, as suggested by Campbell, S., and F. Diebold. 2009. “Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence.” Journal of Business & Economic Statistics 27 (2): 266–278, such a justification can be puzzling because macroeconomic factors are likely to have a closer and more direct link to future business conditions than financial factors. In this paper, we will attempt to solve this puzzling problem by accounting for market volatility when measuring the relationship between stock returns and macroeconomic factors. As a result, we propose a unified framework in which the three components of macroeconomic factors, market volatility, and stock returns are jointly embedded.

Market volatility and stock returns: The role of liquidity providers

2018 ◽  
Vol 37 ◽  
pp. 17-34 ◽  
Author(s):  
Kee H. Chung ◽  
Chairat Chuwonganant
Keyword(s):  
Stock Returns ◽  
Market Volatility

scholarly journals Effects of Daylight Savings Time Changes on Stock Market Volatility

2010 ◽  
Vol 106 (2) ◽  
pp. 632-640 ◽  
Author(s):  
M. Hakan Berument ◽  
Nukhet Dogan ◽  
Bahar Onar
Keyword(s):  
United States ◽  
Stock Market ◽  
Stock Returns ◽  
Conditional Variance ◽  
Time Effect ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Time Effects ◽  
Time Changes

The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.

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