Temat: financial volatility - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic
Podobieństwo i przyczynowość w sensie Grangera sektorów rynku giełdowego Polski i Hiszpanii w okresie pandemii COVID–19
Autorzy:: Żebrowska‑Suchodolska, Dorota
Piekunko‑Mantiuk, Iwona
Powiązania:: https://bibliotekanauki.pl/articles/2106291.pdf
Data publikacji:: 2022-09-14
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: koronawirus
sektory gospodarki
zmienność finansowa
podobieństwo
coronavirus
economic sectors
financial volatility
similarity
Opis:: Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward’s method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level.
Rynki kapitałowe reagują prawie natychmiast na sytuacje kryzysowe. Zależności takie mogą mieć zarówno charakter międzynarodowy, jak i lokalny. Badania skupiają się na giełdach dwóch krajów: Hiszpanii i Polski. Kraje te są często porównywane do siebie pod względem różnych kryteriów gospodarczych i społecznych. Badania dotyczą okresu od 3 marca 2019 roku do 31 marca 2021 roku. Celem badań jest identyfikacja sektorów i indeksów podobnych do siebie na poziomie lokalnym oraz wskazanie wśród par indeksów podobnych tych, które stanowią impuls dla innego sektora. Do badań wykorzystano metodę hierarchiczną analizy skupień (metoda Warda) oraz test przyczynowości Grangera. W niniejszej pracy przedstawiono nowatorskie podejście do porównań sektorowych na poziomie lokalnym.
Źródło:: Comparative Economic Research. Central and Eastern Europe; 2022, 25, 3; 90-109
1508-2008
2082-6737
Pojawia się w:: Comparative Economic Research. Central and Eastern Europe
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
Autorzy:: Karkowska, Renata
Powiązania:: https://bibliotekanauki.pl/articles/482959.pdf
Data publikacji:: 2013
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: financial market
hedge fund
market instability
volatility
Opis:: Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in various financial markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets.
Źródło:: Faculty of Management Working Paper Series; 2013, WPS 3/2013; 1-13
2300-4371
Pojawia się w:: Faculty of Management Working Paper Series
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries
Bayesowska wycena europejskiej opcji kupna z wykorzystaniem modelu GARCH z asymetriami
Autorzy:: Osiewalski, Jacek
Pipień, Mateusz
Powiązania:: https://bibliotekanauki.pl/articles/906870.pdf
Data publikacji:: 2004
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: Bayesian inference
financial econometrics
volatility models
forecasting
derivative pricing
Opis:: In this paper option pricing is treated as an application of Bayesian predictive analysis. The distribution of the discounted payoff, induced by the predictive density of future observables, is the basis for direct option pricing, as in Bauwens and Lubrano (1997). We also consider another, more eclectic approach to option pricing, where the predictive distribution of the Black-Scholes value is used (with volatility measured by the conditional standard deviation at time of maturity). We use a model framework that allows for two types of asymmetry in GARCH processes: skewed t conditional densities and different reactions of conditional scale to positive/negative stocks. Our skewed t-GARCH(l, 1) model is used to describe daily changes of the Warsaw Stock Exchange Index (WIG) from 4.01.1995 till 8.02.2002. The data till 28.09.2001 are used to obtain the posterior and predictive distributions, and to illustrate Bayesian option pricing for the remaining period.
W prezentowanym artykule wycena opcji jest traktowana jako jedno z zastosowań bayesowskiej analizy predyktywnej. Rozkład wartości zdyskontowanej wypłaty, indukowany przez gęstość predyktywną przyszłych stóp zwrotu, jest podstawą bezpośredniej wyceny opcji (zob. Bauwens, Lubrano, 1997). Rozważamy też bardziej eklektyczne podejście, wykorzystujące rozkład predyktywny formuły Blacka i Scholesa (ze zmiennością określoną jako warunkowe odchylenie standardowe w momencie realizacji opcji). Przyjmujemy ramy modelowe, które uwzględniają dwa rodzaje asymetrii w procesach GARCH: skośne rozkłady warunkowe (typu t-Studenta) oraz zróżnicowane reakcje wariancji warunkowej na szoki dodatnie lub ujemne. Model: skośny £-GARCH(l, 1) jest stosowany do opisu dziennej zmienności Warszawskiego Indeksu Giełdowego (WIG) od 4.01.1995 r. do 8.02.2002 r. Dane do 28.09.2001 wykorzystujemy do budowy rozkładów a posteriori i predyktywnego oraz do ilustracji bayesowskiej wyceny opcji na pozostały okres.
Źródło:: Acta Universitatis Lodziensis. Folia Oeconomica; 2004, 177
0208-6018
2353-7663
Pojawia się w:: Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Financial risk contagion to real sector in Iran: A VAR-BEKK-GARCH approach
Autorzy:: Sabouri, Hossein
Abounori, Esmaeil
Tehrani, Reza
Powiązania:: https://bibliotekanauki.pl/articles/1046556.pdf
Data publikacji:: 2019
Wydawca:: Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
Tematy:: Risk contagion
VAR-BEKK-GARCH approach
Volatility spillover
financial markets
Opis:: Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlations. These channels include the transmission of shocks operating through changes in the higher order co-movements of asset returns, including changes in co-skewness arising from changes in the interaction between volatility and average returns across asset markets. These additional contagion channels have nontrivial implications for the pricing of options through changes in the payoff probability structure and more generally, in the management of financial risks. The purpose of this study was to investigate the financial risk contagion from the financial sector to the real sector of the economy using VAR-BEKK-GARCH for the active industries in the Tehran Stock Exchange during the period of 1388-1395. The estimated coefficients for considering the period of the crisis and the recession in the stock market indicate that the coefficients are positive for the effect of the outflow in the stock market. Also, in the case study, there is a probability of financial risk fluctuation between the investigated industries. In addition, the results indicate that the risk and turmoil among the active industries in the stock market and the real sector of the Iranian economy are tangible.
Źródło:: World Scientific News; 2019, 137; 81-95
2392-2192
Pojawia się w:: World Scientific News
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities
Autorzy:: Staugaitis, Algirdas Justinas
Christauskas, Česlovas
Powiązania:: https://bibliotekanauki.pl/articles/22396254.pdf
Data publikacji:: 2023
Wydawca:: Instytut Badań Gospodarczych
Tematy:: commodity futures contracts
dairy commodity futures
financial speculation
return volatility
GARCH
Opis:: Research background: The study analyzes whether financial speculation destabilizes commodity prices in light of recent price volatility and spikes in agricultural commodities. The study delves deeper into the US dairy futures markets, which are less studied by other authors in their research and relatively new in comparison to other agricultural commodity markets. These dairy commodity futures contracts provide dairy businesses and farmers the chance to hedge against price risks, which are particularly crucial in uncertain economic times such as the post-2020 COVID-19 pandemic timeframe. The analysis makes use of the weekly returns on futures contracts for nonfat milk powder, butter, milk class III, and cheese that are obtained from the Chicago Mercantile Exchange (CME). Purpose of the article: Conduct an empirical study to evaluate the effect of financial speculation on dairy product prices on US commodity markets, including the post-2020 timeframe. Methods: Time series analysis is used in the investigation: the generalized auto-regressive conditional heteroskedasticity (GARCH) method, the Granger causality test, and the Augmented Dickey-Fuller (ADF) test. Findings & value added: Our analysis's findings show that, even though most commodities experienced an increase in return volatility during the post-2020 period, there is no evidence for financial speculation being the cause of increased returns from dairy futures contracts. The research also suggests that financial speculation, in some cases, even lowers the volatility of dairy futures prices. Therefore, non-commercial market participants may help to distribute price risks, making these markets more liquid.
Źródło:: Equilibrium. Quarterly Journal of Economics and Economic Policy; 2023, 18, 3; 661-686
1689-765X
2353-3293
Pojawia się w:: Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY
Autorzy:: Stawiarski, Bartosz
Powiązania:: https://bibliotekanauki.pl/articles/599704.pdf
Data publikacji:: 2015
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Tematy:: volatility
structural breaks
financial time series
logarithmic returns
Threshold-GARCH model
Opis:: We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng’s algorithm is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US stock indices. Simulations show that the NPCPM algorithm is superior to ICSS because is not over-sensitive either to heavy tails of market returns or to their serial dependence. Some signals generated by ICSS are falsely classified as structural breaks in volatility, while Cheng’s technique works well only when a single break occurs.
Źródło:: Finansowy Kwartalnik Internetowy e-Finanse; 2015, 11, 1; 32-43
1734-039X
Pojawia się w:: Finansowy Kwartalnik Internetowy e-Finanse
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries
Autorzy:: Kouretas, Georgios
Syllignakis, Manolis
Powiązania:: https://bibliotekanauki.pl/articles/483237.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: emerging European stock markets
stock return volatility
Markov switching
financial crises
Opis:: In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and what the degree of correlation across these markets is. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that two or three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crises as well as over the 2007-2009 financial turmoil, while there is a transition to the low volatility regime as they approach the accession to the EU in 2004. It is also shown that the capital flows liberalization process has resulted in an increase in volatility of stock returns in most cases.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2012, 4, 2; 65-93
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: Influence of the Greek Crisis on the Risk Perception of European Economies
Autorzy:: Kliber, Agata
Powiązania:: https://bibliotekanauki.pl/articles/483351.pdf
Data publikacji:: 2013
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: CDS
bond spread
Markov-switching models
GARCH models
volatility
financial crisis
Opis:: In the article the author analyses the impact of the Financial Crisis, especially the Greek fiscal one, on the sCDS prices in Europe. The aim of the article is to assess the ability of the sCDS premia to price the risk of countries before and during the Greek crisis. The author analyses sCDS premia of maturity 10 years together with the so called bond-spreads, i.e. the spreads between the countries’ bond indexes and the risk free rate of the region (in our case it was the yield of German bonds of corresponding maturity - 10 years). The idea was to check whether there occurred any discrepancies in the risk valuation via the two measures, as a consequence of the Greek crisis. The data is taken daily and covers the period of 2008-2012. Based upon the results obtained in the research we conclude that the Greek crisis indeed influenced the relationships between the two measures of risk, however the degree of the influence was different in different countries. The relationships between the two measures of risk were totally broken only in the case of Greece, while in the other countries the relationships either were not distorted or had been broken already at the beginning of the financial crisis (2008/2009). The Greek problems were indeed reflected in volatilities of all analysed instruments; however triggering the credit event affected only Greek bonds dynamics.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2013, 5, 2; 125-161
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: Impact Of The Ban On Uncovered SCDS Trade On the Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Markets
Autorzy:: Kliber, Agata
Powiązania:: https://bibliotekanauki.pl/articles/632986.pdf
Data publikacji:: 2016-03-01
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: sovereign CDS (sCDS)
bonds
exchange rate
stock exchange
volatility
financial crisis.
Opis:: The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one. The study covers the period from October 2008 to October 2013. We analyse changes in the interdependencies between the sCDS market and the bond market, as well as between the sCDS market and the stock exchange. We found out that in the case of the safe Swedish market, the strength of relationships of each sector of financial markets with the sCDS one was much weaker than in the case of Hungary, which may suggest that the Swedish market is less prone to crisis transmission arising from herd behaviour or speculative attacks. In the end we show that in the two economies, the influence of the sCDS market on the other sectors of financial market indeed diminished following introduction of the ban on uncovered sCDS trade.
Źródło:: Comparative Economic Research. Central and Eastern Europe; 2016, 19, 1; 77-99
1508-2008
2082-6737
Pojawia się w:: Comparative Economic Research. Central and Eastern Europe
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: Zastosowanie statystyki wielowymiarowej do badania kryzysu subprime
Cluster analysis and subprime crisis
Autorzy:: Buszkowska, Eliza
Powiązania:: https://bibliotekanauki.pl/articles/955165.pdf
Data publikacji:: 2015
Wydawca:: Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:: analiza skupień
kryzys finansowy
korelacje
zmienność
cluster analysis
financial crisis
correlations
volatility
Opis:: W artykule zastosowano metody analizy skupień z zakresu statystyki wielowymiarowej do badania okresu kryzysu finansowego. Zgodnie z tymi algorytmami zgrupowano indeksy giełdowe oraz kursy walutowe z okresów charakteryzujących się ich podwyższoną korelacją i szczególną zmiennością. Przeprowadzono dyskusję nad możliwością zastosowania tej metody do generowania ram czasowych różnych okresów giełdowych. Analiza skupień umożliwiła poczynienie nowych obserwacji na temat kryzysu subprime.
The author uses data clustering methods derived from multivariate statistics to investigate the latest financial crisis. In compliance with these algorithms, the paper groups stock market indexes and stock exchange rates from the periods of their higher correlation and higher volatility. The author discusses the possibility to apply this method to generate time frames on the stock market. Cluster analysis has made it possible to make some new observations concerning the subprime crisis.
Źródło:: Optimum. Economic Studies; 2015, 4(76); 86-102
1506-7637
Pojawia się w:: Optimum. Economic Studies
Dostawca treści:: Biblioteka Nauki

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