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1.
In Joon Kim In-Seok Baek Jaesun Noh Sol Kim 《Review of Quantitative Finance and Accounting》2007,29(1):69-110
This paper investigates the role of stochastic volatility and return jumps in reproducing the volatility dynamics and the
shape characteristics of the Korean Composite Stock Price Index (KOSPI) 200 returns distribution. Using efficient method of
moments and reprojection analysis, we find that stochastic volatility models, both with and without return jumps, capture
return dynamics surprisingly well. The stochastic volatility model without return jumps, however, cannot fully reproduce the
conditional kurtosis implied by the data. Return jumps successfully complement this gap. We also find that return jumps are
essential in capturing the volatility smirk effects observed in short-term options.
相似文献
Sol KimEmail: |
2.
Managerial discretion and the economic determinants of the disclosed volatility parameter for valuing ESOs 总被引:1,自引:0,他引:1
This study investigates the determinants of the expected stock-price volatility assumption that firms use in estimating ESO
values and thus option expense. We find that, consistent with the guidance of FAS 123, firms use both historical and implied
volatility in deriving the expected volatility parameter. We also find, however, that the importance of each of the two variables
in explaining disclosed volatility relates inversely to their values, which results in a reduction in expected volatility
and thus option value. This can be interpreted as managers opportunistically use the discretion in estimating expected volatility
afforded by FAS 123. Consistent with this, we find that managerial incentives or ability to understate option value play a
key role in this behavior. Since discretion in estimating expected volatility is common to both FAS 123 and 123(R), our analysis
has important implications for market participants as well as regulators.
相似文献
Doron NissimEmail: |
3.
Benjamas Jirasakuldech Robert D. Campbell Riza Emekter 《The Journal of Real Estate Finance and Economics》2009,38(2):137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using
monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs
1993–2006. Consistent with findings for conventional firms, we find that EREIT conditional volatility is time-varying, persistent,
and predictable. There is a positive relationship between expected return and expected risk in EREIT stocks pre-1993, but
the relationship disappears after 1993. We find no evidence that negative shocks affect EREIT volatility differently from
positive ones in either time period. Different from reported results for conventional firms, we find that changes in the conditional
volatility of fundamental macroeconomic variables have strong explanatory value for future changes in EREIT volatility. Finally,
comparing EREIT volatility performance with volatility in the Russell 2000 Index, a proxy for small stocks, we find that EREIT
volatility behaves differently from that of small stocks in many respects, indicating that risks in the small stock index
cannot effectively proxy for risks in the EREIT market.
相似文献
Riza EmekterEmail: |
4.
Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange 总被引:3,自引:0,他引:3
After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that
the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday
returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session
having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the
high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the
market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks
after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility
observed at the market open.
相似文献
Gary Gang TianEmail: |
5.
Is the January effect still alive in the futures markets? 总被引:1,自引:1,他引:0
The January effect concerns the fact that small capitalization stocks have historically outperformed large capitalized stocks
in January. We analyze evidence as to whether this anomaly can be exploited in the futures markets as a speculative investment
or to add risk-adjusted value to portfolio performance. We find that the January effect is still alive in the futures markets
on the Value Line minus S&P 500 spread trade, but that the marginal liquidity of the Value Line stock index futures contract
has made it very risky to exploit the effect. Historically from 1982/3 to 2004/5, the trade has been profitable. This anomaly
was also exploitable through a Russell 2000 minus S&P 500 spread trade from 1993/4 to 2004/5.
相似文献
William T. ZiembaEmail: |
6.
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 总被引:1,自引:1,他引:0
Allan A. Zebedee Eric Bentzen Peter R. Hansen Asger Lunde 《Financial Markets and Portfolio Management》2008,22(1):3-20
We examine the impact of monetary policy on the S&P 500 using intraday data. The analysis shows an economically and statistically
significant relationship between S&P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude
of the response is dependent on whether the change was expected or unexpected. An expected change in the Fed funds target
rate has no impact on prices in the broad equity market; however, an unexpected change of 25 basis points in the Fed funds
target rate results in an approximate 48 basis points decline in the broad equity market’s return. The speed of these market
reactions is rapid with the equity market reaching a new equilibrium within 15 minutes.
相似文献
Allan A. ZebedeeEmail: |
7.
Ernst Konrad 《Financial Markets and Portfolio Management》2009,23(2):111-135
This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility of German
stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy surprises in
the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These findings are
robust for other Euro zone stock markets, but not significant for other Euro zone bond markets. The empirical evidence also
suggests that monetary policy surprises have larger effects on German stock return volatility in bear markets than in bull
phases. Moreover, our results support the claim that stock return volatility can be negatively correlated with stock returns,
contradicting predictions made by many asset pricing models (e.g., CAPM or ICAPM) and the empirical finding of an insignificant
relationship often reported in the literature.
相似文献
Ernst KonradEmail: |
8.
The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by
proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable
feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also
found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options
markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing
information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative
basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does.
Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance
of return on spot and futures.
相似文献
Kai-Li WangEmail: |
9.
Carole Comerton-Forde James Rydge Hayley Burridge 《Review of Quantitative Finance and Accounting》2007,29(4):395-413
On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
相似文献
Carole Comerton-FordeEmail: |
10.
This study examines empirically the extent to which the frequency of interim financial reporting affects stock price volatility
over the course of the fiscal year in four countries with different interim reporting regimes: the United States and Canada
with quarterly reporting, and Great Britain and Australia with semi-annual interim reporting. It is hypothesized that, in
the tradeoff between timeliness and predictive value of the interim reports, semi-annual interim reporting will lead to lesser
price volatility after accounting for other potential influences. These expectations are supported in the results found. Moreover,
additional tests conducted on American ADRs of British and Australian companies show that those firms have higher volatility
than comparable purely domestic firms on their home stock exchanges.
相似文献
Robert H. WernerEmail: |
11.
Steven Shuye Wang Wei Li Louis T. W. Cheng 《Review of Quantitative Finance and Accounting》2009,32(3):235-267
We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces
additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying
stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities
for speculative and arbitrage activities using futures directly against options. These futures and options trading activities
are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility
and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity
of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings
are robust.
相似文献
Louis T. W. Cheng (Corresponding author)Email: |
12.
Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales 总被引:1,自引:0,他引:1
S. J. T. Jansen P. de Vries H. C. C. H. Coolen C. J. M. Lamain P. J. Boelhouwer 《The Journal of Real Estate Finance and Economics》2008,37(2):163-186
This paper describes the development of a house price index that has been introduced in May 2005 in The Netherlands. This
monthly index, called Woningwaarde Index Kadaster (House Price Index Kadaster), is designed to detect changes in the price
of the overall stock of owner-occupied homes. Fifty-five indices are calculated: one overall index, four regional indices,
12 provincial indices and 38 indices based on combinations of region/province and dwelling type. We used Case and Shiller’s
geometric Weighted Repeat Sales Model to calculate monthly house price indices. We used recorded data on the sales of over
500,000 owner-occupied homes in The Netherlands, all representing repeat sales between January 1993 and December 2006. The
accuracy of the index was determined using the 95% confidence interval. We observed that accuracy might become a problem in
smaller sub samples. Revision volatility was explored by comparing the index values computed from all available data until
December 2005 with the index values computed from the data available until December 2006. Our analysis showed that revision
volatility does not seem to be a major problem to the index. We also explored heteroskedasticity in the Repeat Sales method
but did not find conclusive evidence for the proposed heteroskedasticity. Given our target (a geometric mean index value)
and the characteristics of the dataset (very large but without property characteristics) the Repeat Sales Method seems to
be adequate for calculating a house price index for The Netherlands.
相似文献
P. J. BoelhouwerEmail: |
13.
Evidence of feedback trading with Markov switching regimes 总被引:1,自引:1,他引:0
Previous research has concluded that the degree of return autocorrelation observed in index returns varies linearly with the
volatility of the series, and that feedback traders are at least partly responsible for this phenomenon. Using daily Australian
bond and equity market returns, we test this conclusion directly by using a Markov switching model for changing variance that
explicitly allows the autocorrelation of returns to vary with the volatility regime. We find evidence that a significant proportion
of investors in both the Australian equity and bond markets are positive feedback traders and are responsible for the observed
increase in negative autocorrelation in index returns during periods of high and increasing volatility.
相似文献
Robert W. FaffEmail: |
14.
This study examines a sample of 12,562 dual-rated local government bond issues including 6,104 split-rated issues to determine
which rating agency has the greatest impact on yields. Using a database of municipal bond issues from 1986 to 2002, we show
that Moody’s rated significantly more issues than S&P, and that Moody’s ratings were more conservative. However, from 1993
to 1997, there was a reduction in ratings disagreements and in Moody’s market share. Beginning in 1995, Moody’s received negative
publicity related to a Department of Justice anti-trust investigation. Moody’s appears to have responded by sharply increasing
their relative conservatism in 1997. From 1986 to 1994, Moody’s ratings had a greater impact on bond yields than S&P ratings,
but their dominant influence on yields disappears in the recent sample period from 1995 to 2002.
相似文献
Donna M. Dudney (Corresponding author)Email: |
15.
Value relevance of value-at-risk disclosure 总被引:2,自引:2,他引:0
Chee Yeow Lim Patricia Mui-Siang Tan 《Review of Quantitative Finance and Accounting》2007,29(4):353-370
The SEC issued FRR No. 48 in 1997 to enhance public disclosure of firms’ exposures to market risk. We examine whether the
quantitative value-at-risk (VAR) estimates disclosed by 81 non-financial firms during the period 1997–2002 are value-relevant
using the earnings-returns relation. The empirical results indicate that high VAR is associated with weaker earnings-returns
relation. Further analysis shows that VAR is positively and significantly associated with future stock return volatility.
Our evidence suggests that investors perceive the earnings of firms with substantial market risk exposure to be less persistent,
and adjust the future abnormal earnings for the higher risk exposure. Thus, this results in a lower expected rate of return.
相似文献
Chee Yeow LimEmail: |
16.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
17.
Seung Hun Han Yoon S. Shin Walter Reinhart William T. Moore 《Journal of Financial Services Research》2009,35(2):141-166
We examine stock market reactions to corporate credit rating changes in 26 emerging market countries included in the Morgan
Stanley Capital International (MSCI) Emerging Market Index. We hypothesize and test the notion that emerging market firms
in the American Depository Receipts (ADRs) markets are more likely to purchase ratings from the Big Two (Moody’s and S&P),
and that they react more strongly to the announcements of corporate rating changes by Moody’s or S&P than to those of raters
in local markets. We compare the effect of credit rating changes of the Big Two in two emerging stock markets: local markets
(local currencies) and ADR markets (U.S. dollars). We find significant price reactions in the ADR markets, and insignificant
reactions in local markets, and conclude that there is capital market segmentation in ADR markets for credit rating changes
of emerging market firms. We find evidence that investors react more strongly in the ADR markets than local markets because
they require higher costs of capital for firms cross-listed both in the ADR markets and local markets due to greater expected
bankruptcy costs and foreign exchange risks of those firms. We also report that stock markets react significantly, not only
to rating downgrades, but also to upgrades in the ADR markets.
相似文献
William T. MooreEmail: |
18.
Jie Zhu 《Financial Markets and Portfolio Management》2009,23(3):243-269
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics
of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively.
The model is applied to 10 Asia-Pacific stock markets. Their in-mean effects on returns are tested. The empirical results
show that the persistent component is much more important for the volatility dynamic process than is the volatile component.
However, the volatile component is found to be a significant pricing factor of asset returns for most markets. A positive
or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly
priced for the return dynamic process.
相似文献
Jie ZhuEmail: |
19.
Joseph T. L. Ooi Jingliang Wang James R. Webb 《The Journal of Real Estate Finance and Economics》2009,38(4):420-442
The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known
as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining
the monthly cross-sectional returns of REIT stocks. Contrary to the CAPM theory, a significant positive relationship is found
between idiosyncratic volatility and the cross-sectional returns. This suggests that firm-specific risk matters in REIT pricing.
The regression results further show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and
book-to-market equity ratio factors ceased to be significant. The explanatory power of the momentum effect remains robust
in the presence of idiosyncratic risk.
相似文献
James R. WebbEmail: |
20.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |