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Full-Text Articles in Business
Volatility Of The Utilities Industry: Its Causal Relationship To Other Nine Industries, Kuo-Hao Lee, Ahmed Y. Elkassabgi, Wei-Jen Hseih
Volatility Of The Utilities Industry: Its Causal Relationship To Other Nine Industries, Kuo-Hao Lee, Ahmed Y. Elkassabgi, Wei-Jen Hseih
Faculty Publications -School of Business
The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test developed by Hacker and Hatemi-J (2006) to examine the behavior of the volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other industries, except the Information Technology and Telecommunication Services industries. The data also suggest that Financials industry has impact on the Utilities industry.
Dynamical Volatilities For Yen-Dollar Exchange Rates, Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum
Dynamical Volatilities For Yen-Dollar Exchange Rates, Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum
All Faculty Scholarship for the College of the Sciences
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent κ = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.