Volatility spillovers to the emerging financial markets during taper talk and actual tapering

On 22 May 2013, Fed chairman, Ben Bernanke surprised markets by indicating to the media that the US Fed may taper its quantitative easing programme. This set out financial volatility across the globe over the next several months that spilled over to the financial markets of emerging market economies (EMEs). It prompted many EME central banks to take varied policy actions. Looking into this widely known event, this article presents formal empirical evidence establishing that (i) conditional volatility during taper talk exceeded that during actual tapering and (ii) volatility spillovers took place ‘contemporaneously’ from the US markets to the key EMEs during this period. The results suggest importance of careful communications by advanced economy central banks and the possibility of establishing ‘rules of the monetary game’. They also suggest that in the absence of international policy coordination to contain spillovers, EME central banks should build adequate buffers and reinforce financial stability ahead of the reversal of the global interest rate cycle.     

A new generalized volatility proxy via the stochastic volatility model

This article proposes power transformation of absolute returns as a new proxy of latent volatility in the stochastic model. We generalize absolute returns as a proxy for volatility in that we place no restriction on the power of absolute returns. An empirical investigation on the bias, mean square error and relative bias is carried out for the proposed proxy. Simulation results show that the new estimator exhibiting negligible bias appears to be more efficient than the unbiased estimator with high variance.     

Risk,variety and volatility: growth,innovation and stock prices in early industry evolution

The paper studies the patterns of volatility in firm growth rates and stock prices during the early phase of the life-cycle of an old economy industry, the US automobile industry from 1900-1930, and a new economy industry, the US PC industry from 1974-2000. In both industries, firm growth rates are more volatile in the period in which innovation is the most radical. This is also the period in which stock prices are more volatile. The comparison sheds light on the co-evolution of industrial and financial volatility and the relationship between this co-evolution and mechanisms of Schumpetarian creative destruction. Results provide insight into the debate on whether the statistical behavior of firm growth rates is well represented by Gibrats Law.JEL Classification: L11, 030, G12I thank Massimiliano Tancioni for his excellent research assistance. Support from the following grants is much appreciated: European Commission Key Action Improving the socio-economic knowledge basecontract HPSE-CT-2002-00146, and the Open University RDF Grant contract no. 793.     

An Investigation of Event Study Methodologies with Clustered Events and Event Day Uncertainty

The specification and power of mean-adjusted, market and quadratic models in event studies using OLS, Patell, Jaffe and GLS are examined. Simulation is used with security and portfolio returns to capture different cross correlations. The market model is always superior in specification and power compared to the mean-adjusted and quadratic models. The use of OLS with the market model is supported in the absence of clustered events and event day uncertainty, whereas use of Jaffe with the market model is supported in the presence of these problems.     

Volatility and growth in developing economies: some numerical results and empirical evidence

This paper analyzes the effect of volatility on growth in a developing economy facing an imperfect world capital market. The analysis comprises: (i) the development of a formal framework for assessing the role of risk on growth; (ii) numerical simulation; and (iii) empirical testing of the model, using data from 61 developing economies. We find that the model plausibly replicates the equilibrium of small stylized economies subject to external and internal sources of risk. We define a benchmark economy and study the effects of various sources of risk and borrowing costs on the equilibrium growth rate, its variability, and welfare. The numerical results obtained are intuitive and supported by empirical evidence.     

The response of the Dollar/Yen exchange rate to economic announcements

The paper examines the impact of major U.S. macroeconomic announcements on the Dollar/Yen exchange rate. We find that these announcements are responsible for most intraday and day-of-the-week volatility patterns in this market and we identify the most important announcements. The initial reaction to a major 8:30 announcement begins around 8:30:10 and lasts until about 8:30:50. A partial price correction is normally observed between 8:31 and 8:32. Price movements after 8:32 are basically independent of those observed earlier although volatility continues to be higher than normal until about 8:55.     

Price limits on a call auction market: Evidence from the Warsaw Stock Exchange

We empirically investigate the impact of price limits on volatility and autocorrelation in the call auction segment of the Warsaw Stock Exchange (WSE). Because call auctions offer time-out periods to investors, we do not expect price limits to counter overreaction and panic in this market structure. Indeed, our empirical findings show that price limits result in excess volatility on the next trading day and strong continuation of price movements, which indicates that price limits only delay the adjustment of prices to equilibrium levels. Our results question the necessity of price limits in the call auction system of the WSE.     

上市公司连续两年亏损就应该被“ST”吗?

结合公司运营以及赢利的相关理论 ,本文对我国股市的上市公司股票特殊处理 (ST)政策进行了深入分析。本文提出了一个既能够反映公司赢利能力又可以反映赢利波动率的公司盈亏模型。该模型显示亏损以及连续亏损与否 ,并不直接依赖于公司长期的赢利能力 ,而是直接依赖于一个综合了赢利能力以及赢利波动率的盈亏稳定性指标。结合 1 975— 2 0 0 3年美国上市公司数据的实证检验发现 ,大量具有良好赢利能力的公司 ,可以具有较差的盈亏稳定性。基于以上理论以及实证分析 ,本文对我国股市的特殊处理政策在过去、现在以及未来的现实意义阐述了自己的观点。     

基于GARCH模型的认购权证与认沽权证波动率比较研究

波动性是经济和金融研究的热点问题。本文分别采用无条件波动度量方法和条件波动模型对我国权证市场上具有代表性的六支权证的波动性进行估计,得出以下几个结果:1、六支权证基本上都存在不同程度的波动聚类现象。2、认沽权证的市场有效性弱于认购权证。3、认购权证的波动持续性大于认沽权证,说明认沽权证投机性更强,风险更大。4、认购权证的风险收益补偿大概是认沽权证的6倍。最后,结合本文研究,将给广大投资者一些投资建议。