Inferring Volatility Dynamics Using Stock Prices and Variance Swap Rates: An Efficient Bayesian Approach

2016 ◽  
Author(s):  
Andras Fulop ◽  
Junye Li
Keyword(s):  
Bayesian Approach ◽  
Stock Prices ◽  
Variance Swap ◽  
Swap Rates

scholarly journals The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments

2010 ◽  
Vol 45 (5) ◽  
pp. 1279-1310 ◽  
Author(s):  
Daniel Egloff ◽  
Markus Leippold ◽  
Liuren Wu
Keyword(s):  
Term Structure ◽  
Investment Decision ◽  
Market Price ◽  
Optimal Investment ◽  
Stock Index ◽  
Structure Variation ◽  
Variance Swap ◽  
Variance Risk ◽  
Negative Estimate ◽  
Swap Rates

AbstractThis paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market price of variance risk makes it optimal for an investor to take short positions in a short-term variance swap contract, long positions in a long-term variance swap contract, and short positions in the stock index.

Forecasting stock prices using a hierarchical Bayesian approach

2005 ◽  
Vol 24 (1) ◽  
pp. 39-59 ◽  
Author(s):  
Jun Ying ◽  
Lynn Kuo ◽  
Gim S. Seow
Keyword(s):  
Bayesian Approach ◽  
Stock Prices ◽  
Hierarchical Bayesian

Model Risk in Variance Swap Rates

2011 ◽  
Author(s):  
Carol Alexander ◽  
Stamatis Leontsinis
Keyword(s):  
Model Risk ◽  
Variance Swap ◽  
Swap Rates

scholarly journals Dynamics of Biofuel Stock Prices: A Bayesian Approach

2010 ◽  
Vol 93 (2) ◽  
pp. 418-425
Author(s):  
Xiaodong Du ◽  
Dermot J. Hayes ◽  
Cindy L. Yu
Keyword(s):  
Bayesian Approach ◽  
Stock Prices

The Effect of Current Ratio and Debt to Asset Ratio on Net Profit Margin and Stock Prices: A Study of Basic Industry and Chemicals Companies

2020 ◽  
pp. 282-294
Author(s):  
Sudirman S ◽  
Muhammad Wahyuddin Abdullah ◽  
Muhammad Obie
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Profit Margin ◽  
Current Ratio ◽  
Industry Sector ◽  
Basic Industry ◽  
Net Profit ◽  
Equity Ratio ◽  
Index Value

This study examined the effect of current ratio and debt to asset ratio on net profit margin and stock prices of the sector basic industry and chemicals companies listed on the Indonesia Stock Exchange in the period 2015-2019. The object of research was the stock prices of companies in the Basic Industry and Chemicals sector, which have been published through the official website of the Indonesian capital market. It was used secondary data derived from the monthly statistics, including Current Ratio data, Net Profit Margin, Debt to Asset Ratio, and data on closing prices for the period 2015-2019. In analyzing data, it was used path analysis of secondary data obtained from the basic industry sector financial statements of 60 companies. The company's performance in this sector is considered quite good when seen from the movement of the index value in the last five years. The results show that direct current ratio had a positive and significant effect on the net profit margin, and the debt to equity ratio did not significantly influence the net profit margin. The current ratio has a positive and significant effect on stock prices, and the debt to equity ratio has a negative and not significant effect on stock prices. In contrast, the net profit margin has a significant effect on stock prices in the basic industry sector companies on the Indonesia Stock Exchange. Indirectly the current ratio has a positive and significant effect on stock prices. In contrast, the debt to asset ratio has a negative and not significant effect on the company's stock prices in the basic industry sector on the Indonesia Stock Exchange.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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