Phd thesis on stock market volatilitylook stock market volatility dissertation onetouch options. Reduction phd thesis on stock market volatility in funds rate surprises on lei, lin, edward, phd keywords volatility. Stock market phd thesisin the stock market and residential housing market, finance. A thesis submitted in fulfillment of the requirements for the award of the. Kenneth mckenzie liang technical writer jobs cochin charles chen phd three essays in structural estimation. Showing result 1 5 of 39 swedish dissertations containing the words stock market volatility. This dissertation contains four studies on different market structures and their impact on market quality.article i studies the effect of introducing stock index futures contracts on the underlying stocks.

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Stockholm business school, stockholm university abstract: this thesis examines the volatility in the equity and short term interest rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. Chapter 1 gives a brief introduction to the parametric and nonparametric volatility models, as well as the estimation methods used in this thesis. Chapter 2 applies a nonparametric smoothing technique to examine the volatility of the chinese stock markets due to the unique characteristics of the chinese markets. The results suggest that the leverage effect exists in the chinese stock markets: bad news does affect the return volatility more than good news.

Further, compared with the superior performance of the nonparametric model in the in sample and out of sample forecast, the parametric models tend to overestimate the volatility process in turbulent periods and yield larger estimation errors. The results also suggest that the nonparametric model is a more appropriate tool to use in estimating the chinese stock return volatility than the parametric garch models. Chapter 3 proposes a semi parametric procedure to estimate the volatility of the weekly three month u.s.

The new approach accommodates asymmetry, levels effect and serial dependence in the conditional variance and the volatility is estimated by a nonparametric smoothing technique. Results from our monte carlo simulation illustrate the robustness of the semiparametric approach when estimating short rate volatility with misspecification in the short rate drift function and the underlying innovation distribution. Treasury bill yields suggests that the semiparametric estimation procedure provides superior in sample and out of sample volatility forecasts compared to the widely used diffusion volatility models. Finally, we demonstrate that the semiparametric approach has pertinent implications for pricing long dated and path dependent interest rate derivatives. Chapter 4 examines the equity return volatility and the spillover effects from short term interest rates in the emu area. The empirical study is carried out by estimating an extended markov switching gjr in mean model with a bayesian based markov chain monte carlo methodology.

Our results suggest that two regimes exist in the euro area stock markets a high mean low variance bull market and a low mean high volatility bear market. Most of the euro countries have the same regime switching status between the bull and bear markets. Our results also suggest that bad news from unexpected stock returns negative residuals from returns has an asymmetrically larger effect on the returns and the volatility than good news has. As implied in the news impact surface, we find that changes in short term interest rates only significantly affect stock market volatility in the bear period in most of the emu countries. 2008 day of the week effects: evidence from the stock exchange of mauritius sem international research journal of finance and economics 17, 8 14 13 aggarwal, r. And rivoli 1989 seasonal and day of the week effect in four emerging stock markets financial review, 24, pp.

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2004 an analysis of the day of the week effects in the egyptian stock market , international journal of business, 9, pp: 301 308. The day of the week anomaly: the toronto stock exchange experience journal of business finance and accounting 13. 2006 day of the week effects in emerging stock markets, applied economics letters, 13, pp. Harvey 20 , foreign speculators and emerging equity markets , the journal of finance, 55, pp.565 613. Lundblad 2003 , equity market liberalization in emerging markets, journal of financial research, 26, pp.275 299. Lundblad 2005 , does financial liberalization spur growth? journal of financial economics, 77, pp.3 55 13 berument, h. And kiymaz, h 2001 the day of the week effect on stock market volatility journal of economics and finance, 25, pp.181 193 13 bhattacharya, u.

1976 , studies of stock price volatility changes , proceedings of the american statistical association, business and economic statistics section, 13 177 181. 2001 seasonality in southeast asian stock markets: some new evidence on day of the week effects applied economics letters, 8, pp.155 158. The day of the week effect: new evidence from the chinese stock market the chinese economy, 39, pp. 2010 the day of the week effects on the volatility: the role of the asymmetry european journal of operational research. 1982 , the stochastic behaviour of common stock variances: value, leverage and interest rate effects , journal of financial economics, 10, 407 432.

2008 an econometric analysis of african stock market: annual returns analysis, day of the week effect and volatility of returns international research journal of finance and economics 14, 370 378 13 central bank of nigeria, 2004 , nigeria: major economies, finance and banking indicators 13 cross, f 1973 the behaviour of stock prices on fridays and mondays financial analyst journal, 29, pp. 1996 the day of the week effect: the international evidence journal of banking and finance, 20, pp.1463–84. 1980 stock returns and the weekend effect journal of financial economics, 8, pp.

Funke 2003 stock market liberalizations: financial and macroeconomic implications review of world economics, 139, pp 730 761 13 gibbons, m. And hess, p 1981 day of the week effects and asset returns journal of business, 54, pp. 1988 the statistical properties of daily foreign exchange rates: 1974 1983 journal of international economics, 24, pp.

2009 the impact of portfolio aggregation on day of the week effect: evidence from finland global finance journal 20, no.1, pp. Day of the week effects in us and asia pacific stock markets during the asian financial crisis: a non parametric approach omega, 33, pp. 13 international monetary fund 2008 , south africa: financial stability assessment,including report on the observance of standards and codes on the following topic: securities regulation, publication services, washington, d.c 13 johannesburg stock exchange: available at: http//ww.jse.co.za accessed january 2010 junkus, j. 1986 weekend and day of the week effects in returns on stock index futures the journal of futures markets, 6, pp.397−407. 2003 the day of the week effect on stock market volatility and volume: international evidence review of financial economics, 12, pp.363 380 13 keim, b and stambaugh, f. 1984 a further investigation of the weekend effect in stock returns journal of finance, 39, pp. Are seasonal anomalies real? a ninety year perspective review of financial studies 1, pp.

2010 financial development, economic growth and market volatility: evidence from nigeria and south africa phd thesis, university of leicester, united kingdom. 2010 stock markets, banks and economic growth: time series evidence from south africa the african finance journal 2, pp. Conditional heteroskedasticity in asset returns: a new approach econometrica, 59, pp. 1962 periodic structure in the brownian motion of the stock market operations research, 10, pp. Modeling the volatility in east european emerging stock markets: evidence on hungary and poland applied financial economics, vol.11, pp. 20 , capital market liberalization, economic growth, and instability , world development, 28, pp. 1997 , financial liberalization, stock markets and economic development , the economic journal, 107, pp.