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The Impact Of The Introduction Of Fx Futures On The Volatility Of The Underlying Asian Emerging Market Currencies, Teresa Starzecki
The Impact Of The Introduction Of Fx Futures On The Volatility Of The Underlying Asian Emerging Market Currencies, Teresa Starzecki
Doctoral Dissertations (DBA)
This paper examines the impact of the introduction of currency futures on the volatility of four Asian emerging market currencies: Chinese yuan, Indian rupee, South Korean won, and Thai baht. A GARCH(1,1) model is implemented to measure volatility in pre- and post- futures introduction periods along with an MCMC procedure to estimate the model and test the significance in changes in volatility between the periods. We find that for three of the four currencies, the persistence and long-run mean of volatility significantly decrease after futures were introduced, while the variance of variance decreases for all four currencies. The results suggest …
Relationship Between Software Development Team Structure, Ambiguity, Volatility, And Project Failure, Dominic Martinelli Saxton
Relationship Between Software Development Team Structure, Ambiguity, Volatility, And Project Failure, Dominic Martinelli Saxton
Walden Dissertations and Doctoral Studies
Complex environments like the United States Air Force's advanced weapon systems are highly reliant on externally developed software, which is often delivered late, over budget, and with fewer benefits than expected. Grounded in Galbraith's organizational information processing theory, the purpose of this correlational study was to examine the relationship between software development team structure, ambiguity, volatility and software project failure. Participants included 23 members of the Armed Forces Communications and Electronics Association in the southeastern United States who completed 4 project management surveys. Results of multiple regression analysis indicated the model as a whole was able to predict software project …
The Effect Of Investor Sentiment On Futures Market Returns And Volatility, Kenneth Steven Lovell
The Effect Of Investor Sentiment On Futures Market Returns And Volatility, Kenneth Steven Lovell
Theses and Dissertations - UTB/UTPA
For over thirty years research has been done on investor sentiment and their effects on market returns and volatility. The theory of De Long et al., (1990) has been used to explain the effect of uninformed investor sentiment (also known as noise trader sentiment) on market returns and volatility. Studies of Wang (2003) and Sanders et al. (2003, 2009) in the futures market have found that uninformed investor sentiment does not affect future market returns, which is contrary to De Long et al. (1990). Also previous studies of investor sentiment in the futures market do not seem to investigate the …
Stock Return Volatility In Emerging Equity Markets: The Relative Effects Of Country And Global Factors, Benjamin Adam Abugri
Stock Return Volatility In Emerging Equity Markets: The Relative Effects Of Country And Global Factors, Benjamin Adam Abugri
Theses and Dissertations - UTB/UTPA
The rapid growth of capital markets in developing countries has come as a major event in recent financial history. According to the International Finance Corporation (IFC), portfolio flows to emerging countries has kept rising since the early 1980s and the trend has continued even after a number of financial crises (IFC, 2000). Probably one of the most commonly known characteristics of these markets is their high volatility compared to the more developed markets. But results of studies on volatilities in these markets are often based on estimates of the variance of market indexes or asset returns over relatively long periods …