scholarly journals Linking U.S. CDS Indexes with the U.S. Stock Market: A Multidimensional Analysis with the Market Price and Market Volatility Channels

10.5772/33888 ◽  
2012 ◽  
Author(s):  
Hayette Gatfaoui
Keyword(s):  
Stock Market ◽  
Market Price ◽  
Multidimensional Analysis ◽  
Market Volatility ◽  
The U.S

scholarly journals A Study Of U.S. Stock Market Volatility, Fall 2008

2011 ◽  
Vol 7 (11) ◽  
Author(s):  
Ron Christner
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Life Span ◽  
Relative Magnitude ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Font Size ◽  
Bear Market ◽  
Stock Indexes ◽  
The U.S

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; color: black;"><span style="font-size: x-small;">This is a market volatility study utilizing three measures of assessing volatility in the U.S stock markets prior to and after the month of September 2008 using three proxies. The first is the VIX index, the CBOE options volatility measure. The next two are bearish, or short position strategy, ETF&rsquo;s based on stock indexes but designed to reflect and benefit from stock market movements in the downward direction. They are the Power Shares index, symbol SDS, and the Rydex Index, symbol RMS. This research evaluates and analyzes weekly movements in the three volatility variables mentioned above for a period of the last eight months of 2008. This includes the four months prior to and the four months after the beginning of September 2008. Specifically, the relative magnitude, volatility and degree of correlation between the three variables will be examined and compared to the movements in NYSE, NASDAQ and S &amp; P stock indexes. The life span and volume of trading, one measure of liquidity, in each of the three variables will also be evaluated. Part of the analysis, and conclusions, will involve analyzing how similar or dissimilar the three behave and whether one may be a better indicator of current<span style="mso-spacerun: yes;">&nbsp; </span>or future volatility in the stock market, or financial markets in general and how effective the bear market ETF&rsquo;s might be as hedging vehicles in a down market.</span></span></p>

scholarly journals The U.S. Presidential Election 2012/2016 and Investors’ Sentiment: The Case of CBOE Market Volatility Index

SAGE Open ◽  
2019 ◽  
Vol 9 (3) ◽  
pp. 215824401986417
Author(s):  
Imlak Shaikh
Keyword(s):  
Stock Market ◽  
Presidential Election ◽  
Presidential Elections ◽  
Implied Volatility ◽  
Substantial Effect ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Index ◽  
Stock Market Performance ◽  
The U.S

Given that political events have substantial effect on new economic policies and economic performance of the country, this article aims to examine the behavior of the investors’ sentiment in terms of implied volatility index trailed by the U.S. presidential elections. The study empirically tests whether the presidential elections in 2012/2016 do contain the important market inclusive information to explain the expected stock market volatility. The findings indicate that investors’ concern was distracted around the presidential elections window, albeit the market performed identically in both the presidential election years. The significant fall in the implied volatility level (post-election period) is the calm before the storm, just wait and watch. The positive estimate uncovers the fact that investor worries were higher before the election day. In particular, the significant estimate of the presidential election debate shows that investors do regard the minutes of the presidential election debates in their portfolio selection. At the two elections era, on the candidacy of both the parties, the empirical result speaks marginally contrasting outcomes and falsifies the presidential election cycle hypothesis of past 29 U.S. election years. Empirical estimates conclude that the presidential elections in 2012/2016 have a strong, significant relationship with investor’s sentiment and stock market performance.

scholarly journals Stock Market Volatility under Sanctions

2014 ◽  
Vol 3 (4) ◽  
pp. 234-249
Author(s):  
Hojatallah Goudarzi
Keyword(s):  
Stock Market ◽  
Nuclear Energy ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Fat Tails ◽  
Arch Models ◽  
Volatility Clustering ◽  
Market Growth ◽  
Congressional Research ◽  
The U.S

Since 1979, Iran has faced with unilateral and multilateral harsh sanctions due to its nuclear energy program. These sanctions have resulted in significant problem to both sanctioned and sanctioning parties. Given the fact that sanctions have had significant impacts on Iran’s economy and since Iran stock market is the barometer of its economy, it is assumed that sanctions affect the Iranian stock market as well. To test this hypothesis, this study studied the Iranian stock market volatility during harsh sanctions using ARCH models. The study found that, despite all sanctions, not only Iran’s stock market shows major stylized facts of any stock market’s volatility i.e. volatility clustering, fat tails and mean reversion but also it shows no irregularity which could be attributed to effect of sanctions. This finding was consistent with Iranian stock market regulators claiming Iranian stock market growth and the U.S. Congressional Research Service report 2013. Therefore, based on findings, this study concluded that Iranian stock market has not affected by sanctions.

scholarly journals Time-varying risk aversion and the profitability of momentum trades

2020 ◽  
Vol 9 ◽  
pp. 43-54 ◽  
Author(s):  
Riza Demirer ◽  
Shrikant Jategaonkar
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Predictive Power ◽  
Market Volatility ◽  
Time Varying ◽  
Momentum Strategies ◽  
Degree Of Risk ◽  
The U.S

We show that time-varying risk aversion serves as a significant predictor of stock market momentum in the U.S. and globally. Risk aversion is found to be a robust predictor of momentum returns even after controlling for various well established stock market predictors and absorbs the predictive power of market volatility. The findings imply that momentum strategies can be enhanced by conditioning trades on the degree of risk aversion in the marketplace.

Short selling regulation, return volatility and market volatility in the Athens Exchange

2017 ◽  
Vol 34 (1) ◽  
pp. 82-104 ◽  
Author(s):  
Charilaos Mertzanis
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Market Price ◽  
Short Selling ◽  
Market Volatility ◽  
Short Sales ◽  
Content Type ◽  
Regulation Policy ◽  
The Impact

Purpose The relationship between short selling, market volatility and liquidity remains an object of intensive research. However, empirical evidence is yet to provide a conclusive elucidation of this relationship by examining aspects of market fragmentation in the form of different market settings, different timing and different stocks under coverage, among others. This paper aims to contribute to the debate by investigating the impact of short selling on market volatility and liquidity in the Athens Exchange (ATHEX) under three different periods of short sales restrictions. Design/methodology/approach Two hypotheses are tested using econometric methodologies (co-integration and Granger-causality tools). Findings The empirical results indicate that when short selling is allowed, aggregate stock returns are in the short-term more volatile, but the liquidity of the market is not significantly affected. This might be the result of significant imbalances between supply and demand of stock caused by short-selling restrictions, leading to market price fluctuations. Research limitations/implications The analysis of empirical evidence needs further expansion and association with institutional firm-level and country-level elements to provide a more comprehensive understanding of the impact of short selling on market volatility and liquidity. Practical implications Stock market regulation involving short-selling restrictions have different implications according to extent and degree of stringency of the restrictions as well as the market on which they are imposed. That is especially important for the assessment of the market impact of the recent European Union regulation on short selling that has been imposed upon all EU member-States alike. Social implications Financial regulation policy must balance the benefits and costs for retail investors of imposing short-selling restrictions on stock market trading. Originality/value First-time empirical evidence is provided on the impact of short selling regulations on market volatility and liquidity of ATHEX highlighting the potential effectiveness of regulation policy.

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