Gregoriou Stock Market Volatility

1. Auflage 2010
ISBN: 978-1-4200-9955-3
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 651 Seiten

Up-to-Date Research Sheds New Light on This Area
Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies.

The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives.

Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.

Zielgruppe

Practitioners and researchers in finance, economics, econometrics and financial engineering.

Autoren/Hrsg.

Gregoriou, Greg N.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

Modeling Stock Market Volatility
An Overview of the Issues Surrounding Stock Market Volatility
Elena Kalotychou and Sotiris K. Staikouras

Analysis of Stock Market Volatility by Continuous-Time GARCH Models
Gernot Müller, Robert B. Durand, Ross Maller, and Claudia Klüppelberg

Price Volatility in the Context of Market Microstructure
Peter Lerner and Chunchi Wu

GARCH Modeling of Stock Market Volatility
Rachael Carroll and Colm Kearney

Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns
Massimo Guidolin

A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios
Valerio Potì

The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule
Craig Ellis and Maike Sundmacher

Jumps and Microstructure Noise in Stock Price Volatility
Rituparna Sen
Portfolio Management and Hedge Fund Volatility
Mean-Variance versus Mean-VaR and Mean-Utility Spanning
Laurent Bodson and Georges Hübner

Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation
Jason C. Hsu and Feifei Li

Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies
Wolfgang Breuer, Marc Gürtler, and Olaf Stotz

Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
Michael Schyns, Georges Hübner, and Yves Crama

The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds
Giampaolo Gabbi, Andrea Limone, and Roberto Renò

Dampening Hedge Fund Volatility through Funds of Hedge Funds
Jodie Gunzberg and Audrey Wang

Information Transmission across Stock and Bond Markets: International Evidence
Charlie X. Cai, Robert Faff, David Hillier, and Suntharee Lhaopadchan
Developed Country Volatility
Predictability of Risk Measures in International Stock Markets
Turan G. Bali and K. Ozgur Demirtas

Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada
Christian Calmès and Raymond Théoret

Usage of Stock Index Options: Evidence from the Italian Market
Rosa Cocozza

Cross-Sectional Return Dispersions and Risk in Global Equity Markets
Thomas C. Chiang

News, Trading, and Stock Return Volatility
Vladimir Zdorovtsov

The Correlation of a Firm’s Credit Spread with Its Stock Price: Evidence from Credit Default Swaps
Martin Scheicher

Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets
David E. Allen and Marcel Scharth
Emerging Market Volatility
Economic Integration on the China Stock Market, before and after the Asian Financial Crisis
Jack Penm and R.D. Terrell

Do Tigers Care about Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets
Bartosz Gebka

Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges
Marco Rossi and Raphael W. Lam

Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets
Oktay Tas, Cumhur Ekinci, and Zeynep Iltüzer Samur

Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange
M. Nihat Solakoglu, Nazmi Demir, and Mehmet Orhan

Forecasting Default Probability without Accounting Data: Evidence from Russia
Dean Fantazzini

Recent Assessments on Mean Reversion in the Middle East Stock Markets
Sam Hakim and Simon Neaime

Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India
Sumon Kumar Bhaumik, Suchismita Bose, and Rudra Sensarma

Stock Market Volatility and Political Risk in Latin America: The Case of Terrorism in Colombia
Ignacio Olmeda and Daniel Sotelsek
Index

Über Autor(innen)

Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at the State University of New York, Plattsburgh. Dr. Gregoriou has authored nearly thirty books, has published more than fifty academic articles, and is the hedge fund editor and editorial board member of the Journal of Derivatives and Hedge Funds as well as editorial board member of the Journal of Wealth Management and the Journal of Risk and Financial Institutions.