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Essays On The Dynamics Of Stock Returns In Emerging Markets: Roles Of Volatility And Sentiment In Turkey, Sidika Gülfem Bayram
Essays On The Dynamics Of Stock Returns In Emerging Markets: Roles Of Volatility And Sentiment In Turkey, Sidika Gülfem Bayram
Theses and Dissertations - UTB/UTPA
Emerging stock markets play an important role in portfolio diversification. Accurate depiction of their status is essential for potential investment assessment. This dissertation focuses on two important aspects of emerging markets using Istanbul Stock Exchange (“ISE”) as an example: modeling stock return volatility as a measure of risk and exploring potential interaction between stock returns and consumer/business sentiments. ISE is selected as it has no entry restrictions and offers great investment potential with 65% foreign participation.
The first essay focuses on stock return volatility. Potential asymmetric behavior is investigated by looking into how the ISE National-100 Index prices evolve over …
Two Essays On The Impact Of Rational And Irrational Investor Sentiments On Equity Market Return And Volatility: Evidence From The U.S. And Brazil, Pablo Javier Calafiore
Two Essays On The Impact Of Rational And Irrational Investor Sentiments On Equity Market Return And Volatility: Evidence From The U.S. And Brazil, Pablo Javier Calafiore
Theses and Dissertations - UTB/UTPA
This dissertation consists of two essays on how investor sentiments affect the returns and volatility of the Brazilian stock market. Both essays share a similar methodological approach. The first one analyzes the effect of investor sentiments on the returns and volatility of the Brazilian stock market using a model that accounts for fundamentals (rational) and noise components (irrational) of investor sentiments on the Sao Paulo leading index Bovespa. This research finds a statistically significant positive (negative) impact of rational (irrational) sentiments on market returns. Moreover, there are statistically significant impacts of irrational components of the sentiment indexes on Bovespa volatility …
Three Essays On International Transmission Mechanism, Volatility And Spillovers On American Depositary Receipt Returns, Priti Verma
Theses and Dissertations - UTB/UTPA
This dissertation is a collection of three inter-related essays that examine spillovers from interest rates, exchange rates, regional markets, and the U.S. market to the American Depositary Receipt (ADR) returns. The ADRs investigated in this study are from Brazil, Chile, Mexico (Latin America), U.K., Germany, France, Italy (Europe), and Japan, Hong Kong, and Taiwan (Asia).
Essay 1 investigates the price and volatility spillovers as well as the asymmetric impact of positive and negative innovations from interest and exchange rates to ADR returns. Unlike previous studies which use bivariate statistics, the multivariate extension of Nelson's (1991) Exponential Generalized Autoregressive Conditional Heteroscedasticity …