Regime Dependent Conditional Volatility in the U.S. Equity Market

<p>The paper assesses the dynamic interaction between exchange rates and stock market volatility in South Africa by making use of the generalised impulse response function obtained from a bivariate VAR model. Volatility variables in the VAR system are obtained from a family of GARCH models based on criteria such as covariance stationarity and leverage effects. The findings of the paper show that foreign exchange conditional volatility responds positively to volatility shocks to the equity market. Nonetheless, the response of the equity market conditional volatility to volatility shocks to the foreign exchange market is short-lived and neutral for most of the time horizon periods. The paper attributes this finding mainly to the extent of foreign participation in emerging equity market in general and the South African equity market in particular.</p>

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Asymmetric Investor Sentiment and Broker Sentiment Contagionin the U.S. Equity Market

International Journal of Economics and Finance ◽

10.5539/ijef.v6n11p160 ◽

2014 ◽

Vol 6 (11) ◽

Author(s):

Huijian Dong

Keyword(s):

Investor Sentiment ◽

Equity Market ◽

The U.S

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Predictability Bias in the U.S. Equity Market

Financial Analysts Journal ◽

10.2469/faj.v51.n2.1877 ◽

1995 ◽

Vol 51 (2) ◽

pp. 12-28 ◽

Cited By ~ 28

Author(s):

Lex C. Huberts ◽

Russell J. Fuller

Keyword(s):

Equity Market ◽

The U.S

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Global Political Uncertainty and Asset Prices

Review of Financial Studies ◽

10.1093/rfs/hhz087 ◽

2019 ◽

Vol 33 (4) ◽

pp. 1737-1780 ◽

Cited By ~ 12

Author(s):

Jonathan Brogaard ◽

Lili Dai ◽

Phong T H Ngo ◽

Bohui Zhang

Keyword(s):

Equity Market ◽

Equity Returns ◽

Political Uncertainty ◽

Election Cycle ◽

Equity Prices ◽

Sovereign Bond ◽

Oxford University ◽

Bond Returns ◽

Published Paper ◽

The U.S

Abstract We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political uncertainty on equity prices increases with the level of uncertainty in U.S. election outcomes and a country’s equity market exposure to foreign investors, but does not vary with the country’s international trade exposure. These findings suggest that global political uncertainty increases investors’ aggregate risk aversion, leading to a flight to safety.(JEL F30, F36, G12, G15, G18) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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Minimum-Variance Portfolios in the U.S. Equity Market

CFA Digest ◽

10.2469/dig.v37.n2.4594 ◽

2007 ◽

Vol 37 (2) ◽

pp. 36-38

Author(s):

Jonathan Wheeler Hubbard

Keyword(s):

Equity Market ◽

Minimum Variance ◽

The U.S

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Competition in Make-Take Fees in the U.S. Equity Market

SSRN Electronic Journal ◽

10.2139/ssrn.2149302 ◽

2012 ◽

Cited By ~ 3

Author(s):

Laura Cardella ◽

Jia Hao ◽

Ivalina Kalcheva

Keyword(s):

Equity Market ◽

The U.S

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Strong March Phenomenon and Weak January Effect in the U.S. Bond Market

Accounting and Finance Research ◽

10.5430/afr.v8n1p193 ◽

2019 ◽

Vol 8 (1) ◽

pp. 193

Author(s):

Anthony Yanxiang Gu

Keyword(s):

Equity Market ◽

Bond Market ◽

The Other ◽

January Effect ◽

Treasury Bond ◽

The U.S

The month of March has been the worst month for the U.S. bond market. Mean March return is the lowest among the twelve months’ and March experienced the lowest frequency of positive returns from 1987 through 2015. Returns of March are significantly negatively related to returns of all the other eleven months, to yields of 10-year U.S. Treasury bond, and to March returns of U.S. equity market. They are significantly positively related to annual returns of the U.S. bond market. There is a weak January effect in the U.S. bond market.

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