Business Commons^™

Mortgage Broker Strategies To Overcome The Volatility Of Inconsistent Sales, Marissa Blackwell

Walden Dissertations and Doctoral Studies

Many mortgage brokers leave the mortgage industry because of unforeseen changes andvolatility. Mortgage brokers are concerned with adequate strategies to mitigate industry volatility and inconsistent sales, which is important to successful sustainability during challenging times. Grounded in relationship marketing theory, the purpose of this qualitative single case study was to explore the strategies seven mortgage brokers from a single organization used to sustain sales during volatile times. Data were collected using semistructured interviews by telecommunication, a reflective journal, LinkedIn, Facebook, and broker websites. Through thematic analysis, three themes emerged: maintaining a presence with new and existing clients, understanding client needs, …

Mortgage Broker Strategies To Overcome The Volatility Of Inconsistent Sales, Marissa Blackwell

Walden Dissertations and Doctoral Studies

Many mortgage brokers leave the mortgage industry because of unforeseen changes andvolatility. Mortgage brokers are concerned with adequate strategies to mitigate industry volatility and inconsistent sales, which is important to successful sustainability during challenging times. Grounded in relationship marketing theory, the purpose of this qualitative single case study was to explore the strategies seven mortgage brokers from a single organization used to sustain sales during volatile times. Data were collected using semistructured interviews by telecommunication, a reflective journal, LinkedIn, Facebook, and broker websites. Through thematic analysis, three themes emerged: maintaining a presence with new and existing clients, understanding client needs, …

The Relationship Between Twitter Mentions & Stock Volatility During Trading Hours, Connor Day

Undergraduate Honors Theses

A new paradigm in investing has been created where people have easier access than ever to invest in the stock market from the convenience of their phones. Through zero-commission trading apps, like Robinhood, less starting capital is required. This research is used to investigate the relationship between the frequency of social media mentions on Twitter and a particular stock’s volatility. This will be done using the qualitative data analyzing tool AtlasTi to calculate the frequency in which a particular stock ticker is mentioned on Twitter during trading hours. The volatility of the stock will be calculated using data from Yahoo! …

Relationship Between Risk Exposure, Volatility Forecasting, And Financial Performance Of Hedge Funds, Thandi Lasana

Walden Dissertations and Doctoral Studies

Poor hedge fund performance can impede the financial performance of a business organization. Despite the success of hedge funds, they incurred a loss of 33% during the global economic recession of 2007-2009. Understanding volatility and risk exposures are vital for investors and managers to increase hedge fund returns in various market conditions. Grounded in Markowitz’s modern portfolio theory, the purpose of this quantitative correlational study was to examine the relationship between hedge fund risk exposure, volatility forecasting, and financial performance. Data were collected from archival data from the HedgeNews Africa database and financial databases in South Africa between 2007 and …

Bubbles Through The Years: An Examination Of Unique And Analogous Characteristics Among Financial Manias From The South Sea Bubble To The Great Financial Crisis, Matthew Hines

CMC Senior Theses

Throughout history, financial bubbles have been shrouded in fear and misunderstanding, with hope, greed, and hearsay fueling inane degrees of risk-taking amongst financial powerhouses and the common retail investor alike. While many studies have been conducted to delve into the unique attributes, causes, effects, and consequences of almost every crisis since adequate data could be recorded and preserved, it is not common for the varying types of crises to be directly compared in their core attributes and price movements. This paper conducts such an examination, with a look into ten different crises across the equity, real estate, and oil markets …

The Volatility Implications Of The Chinese Cryptocurrency Ban, Keaton Manwaring

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In this paper, I examine the effect of the May 18^th, 2021 Chinese ban of cryptocurrency transactions on the overall volatility of the cryptocurrency market. To do this, I analyze, in both univariate and multivariate settings, range-based volatility in various event windows surrounding the event. I find clear economic and statistical change in volatility in the five days after the ban. In the ten-day period after the ban, there is a moderate economic change in volatility. In the forty-day period after the ban, there is little economic change in volatility. I conclude that the Chinese ban had a …

Is It Risky To Make The World A Better Place: A Study On The Association Between Environmental, Social, And Governance (Esg) Operational Risk Management And Market Derived Volatilities, Kelly L. Johnson

Senior Honors Projects, 2020-current

Investors and firms are increasingly concerned with their Environmental, Social and Governance (ESG) risk exposures. Awareness of firms’ ESG policies by investors has grown substantially over the past five years. This growth led to the creation of company ratings for ESG operational risk exposure from third parties. We will analyze six years of ESG rankings, accounting and return data for S&P 500 firms and test whether ESG risk management ratings are associated with market derived measures of risk.

Retail Trading And Stock Volatility: The Case Of Robinhood, Cooper Jones

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, significantly influence various measures of volatility. These results might suggest that Robinhood users contribute to noise trading as they are generally individuals trading on name recognition, media coverage, popularity, and familiarity of products, rather than on fundamental values. In our empirical approach, we find that the percentage increase in Robinhood usership Granger causes increases in daily stock volatility.

Noise Traders, Fintech, And Equity Market Volatility, William T. Collins

Honors College Theses

The literature provides ample evidence that the last decades have seen an increase in noise trader activities, in part driven by the development of fintech. This paper strives to educate readers on the term noise traders as well as fintech. Moreover, it argues that the evolvement of noise trader activities accompanied with fintech has increased equity market volatility over time. The study finds that equity market volatility has indeed increased over time and is not driven by periods of crisis. Furthermore, this increase in volatility is more severe for small stocks versus large stocks, which is in line with the …

The Relative Industry Specific Effects Of Covid-19 On Market Volatility And Liquidity, Callin Christensen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Understanding how historical events affect market volatility and liquidity can provide crucial information to financial analysts, investment professionals, and managers in the event that similar circumstances resurface. In this study, I look at how a global pandemic (COVID-19) can introduce frictions into the market and cause disrupt the generation or flow of available information, this could cause prices to deviate significantly from their equilibrium values. I also hypothesize that these inefficiencies may have a greater effect on some industries than others. My analysis seems to confirm this hypothesis. I observe that the global COVID-19 pandemic leads to statistically significant increases …

The Effects Of Inter-Industry Mergers And Acquisitions On The Long-Term Volatility Of Equity Returns, Collin Myers

Undergraduate Honors Theses

The objective of this research was to discover whether a significant relationship exists between the theoretically diversifying effects of inter-industry mergers and acquisitions (“M&A”) and changes in the volatilities of acquisitive firms’ publicly-traded equity security returns (measured as the standard deviation of percentage changes in price) from pre-transaction announcement to post-transaction completion. My hypothesis is that a negative relationship should exist between changes in a firm’s equity return volatility over time and whether the firm completes a diversifying acquisition, which I define as one in which the target firm primarily operates in a different industry than the acquirer. 980 diversifying …

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 …

New Factor Structure Models And Idiosyncratic Volatility, Ossama Elhadary

Dissertations, Theses, and Capstone Projects

In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered around the industry groups and the exchanges. Idiosyncratic volatility calculated using the new factor structure models tend to be smaller than those calculated using the traditional Fama-French model. By sorting portfolios using the idiosyncratic volatility computed using the new factor models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.

Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace

CMC Senior Theses

Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around …

Quantifying The Announcement Effects In The U.S. Lumber Market, Zarina Mamadalievna Ismailova

Graduate Theses, Dissertations, and Problem Reports

The impact of public reports on price fluctuations has been widely investigated in many commodity markets, but little attention has been paid to the lumber market. In this thesis, we examine the impact of two housing market reports, namely the New Residential Construction (Housing Starts) and the New Residential Sales reports, on the U.S. lumber futures market. Our results suggest that the housing starts report does indeed affect lumber market volatility, while the New Residential sales report exerts a minor impact on lumber price volatility. Price volatility is measured by changes future contract prices for lumber. We further find that …

Essays On The Term Structure Of Volatility And Option Returns, Vincent Campasano

Doctoral Dissertations

The first essay studies the dynamics of equity option implied volatility and shows that they depend both upon the option’s time to maturity (horizon) and slope of the implied volatility term structure for the underlying asset (term struc ture). We propose a simple, illustrative framework which intuitively captures these dynamics. Guided by our framework, we examine a number of volatility trading strategies across horizon, and the extent to which profitability of trading strategies is due to an interaction between term structure and realized volatility. While profitable trading strategies based upon term structure exist for both long and short horizon options, …

Australian Dollar Price Shocks And The Australian Stock Market, Ramzi E.N Tarazi

Theses

This thesis presents three studies on the Australian dollar price shocks and the Australian stock market. In this thesis, we study the volatility of the major currencies, identify the effect of the Australian dollar return and volatility on six sectors of the Australian stock market, evaluate volatility from the Australian dollar to the big four banks’ shares volatility in Australia, and finally identify the risk factors for the real estate market in Australia at the fundamental factors and macroeconomies level.

In chapter two, we investigate the influence of volatility of the foreign exchange rate of the US, the UK, Euro-zone, …

Dividend Policy In A Frontier Market And Sector Equity Traded Funds In The United States, Abdulrahman Alharbi

University of New Orleans Theses and Dissertations

In chapter 1, we examine the nature and scale of the relationship between returns on sector Equity Traded Funds (ETFs) and their volatility. We discuss the source and direction of the effect between returns and risk and whether behavioral biases are prominent among sector ETFs. The study has implications for financial sector practitioners and investors, as it provides more information about the risk in sector ETF and whether that risk differs from that of other investment instruments. To this end, we test three hypotheses based on the relevant literature on volatility and returns: the leverage effect hypothesis, feedback hypothesis, and …

High Frequency Trading: Perceptions Regarding Volatility And Regulation, Daniel A. Beck

Honors Theses

Although high frequency trading (HFT) makes up a large portion of day to day trading activity in US and global markets, Khashanah and colleagues (2014) found that nearly half of academic and business industry professionals feel that HFT provides an unfair advantage relative to other market participants, and that a majority of industry professionals share concerns that HFT increases volatility in markets. This creates an environment wherein there are increasing calls by various groups for increased regulation of HFT, and the same study by Khashanah et al (2014) finds that 59% of academics and 46% of industry professionals are of …

The Effect Of The Dodd-Frank Act On Risk In The Financial Sector, Beatrix S. Haddon

Senior Honors Projects, 2010-2019

The Dodd-Frank Wall Street Reform and Consumer Protection Act, commonly known as the Dodd-Frank Act, was passed in 2010 in an attempt to increase transparency and accountability in the financial system. The purpose of this thesis is to discover what effect, if any, the Dodd-Frank Act had on both systematic risk and total volatility in the financial sector. My study shows that while the legislation significantly reduced systematic risk in only one out of the seven industries within the financial sector in the time period I analyzed, it successfully reduced total volatility in all seven industries.

Studies In Volatility, Nazli Sila Alan

Dissertations, Theses, and Capstone Projects

This dissertation consists of five chapters that focus on the price discovery role of equity markets and examine the evolution of intraday stock price volatility as a key measure of market quality. Using six differentiated measures of intraday volatility (that mostly focus on the opening half-hour of trading), all common stocks listed at three stock exchanges with varying levels of fragmentation are analyzed: NYSE and NASDAQ stocks over the period 1993-2012, and Istanbul Stock Exchange (ISE) stocks over the period 2000-2011.

The results on the evolution of intraday volatility presented in Chapters 2 and 3 indicate the following: In 1993, …

Two Essays On The Low Volatility Anomaly, Timothy B. Riley

Theses and Dissertations--Finance and Quantitative Methods

I find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility to take advantage of this anomaly, but I show measures of idiosyncratic volatility are key. Standard risk-adjusted returns suggest that there is no low volatility anomaly from 1996 through 2011, but I find this result arises from model misspecification. Caution must be taken when analyzing high volatility stocks because their returns have a nonlinear relationship with momentum during market bubbles.

I then find that mutual funds with low return volatility in the prior year outperform …

Modeling Stock Return Volatility In Mongolian Stock Market, Munkhtsog Altankhuu

Theses

This paper is one of the first research works to examine the stock index volatility in the Mongolian Stock Exchange. The study utilizes the Generalized Autoregressive Conditional Heteroscedasticity (GAR CH) models to estimate volatility of stock market return of the Mongolian Stock Exchange. A number of prior research work demonstrated that ARCH and GARCH models are fruitful models for modeling volatility of time series data. However, they recommend using different versions of GARCH-type models for different distributions (Normal, Student's t, Skewed Student's t and Generalized Error Distribution) for emerging markets or developing markets. This paper compares the GARCH(l, 1) model …

An Investigation Into The Volatility And Cointegration Of Emerging European Stock Markets, Anna Golab

Theses: Doctorates and Masters

This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability.

The majority of prior studies on stock market comovements and integration have concentrated on mature developed markets or the advanced emerging markets of the Czech Republic, …

Does The Reit Tale Wag The Dog? The Relationship Between Tenant Ownership And The Volatility Of Retail Reit Stock Returns, Dana G. Staley

CMC Senior Theses

This paper will assess the relationship between tenant characteristics and public REIT volatility. Specifically, we focus on the retail REIT subset of the industry. Given that retail REITs are one the most transparent asset classes, they provide an interesting landscape for evaluating the relationship between the firm and the customers, or in this case, the tenants. Specifically, we assess how major tenant ownership, public or private equity owned, impacts the volatility of the REIT’s stock price using 2010 data on 30 retail REITs. Controlling for tenant credit quality, leverage, ROE, book-to-market, size, age, region and property focus, we find that …

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

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 …

Costly Arbitrage And The Lead-Lag Structure Between Value And Glamour Stocks, Meng Li

Theses and Dissertations in Business Administration

Motivated by the findings of Lo and Mackinlay (1990) that size premium can be partially attributed to the lead-lag relation between the returns of large stocks and those of small stocks, in this thesis we hypothesize that a possible lead-lag structure between value and glamour returns can partially explain the value premium anomaly.

The thesis consists of three chapters. Chapter I documents a pronounced lead-lag structure between value and glamour stocks: the glamour stocks lead value stocks in terms of both mean returns and residual volatilities, suggesting that value stocks delay in price adjustment to new information. To further explore …

The Effect Of Survey-Based Sentiment Measures On The Predictability And Volatility Of Stock Returns Conditioned On The Payout Yield And Issue Yield, Darryl Philip Samsell

Theses and Dissertations in Business Administration

Survey-based sentiment indexes from the American Association of Individual Investors, Investors' Intelligence, and the Yale University International Center for Finance show strong in-sample monthly return predictability and are strong factors in explaining the cross-sectional variation in monthly returns and in explaining the excess volatility in returns beyond that explained by cash flow fundamentals proxied by the payout yield and the issue yield from Boudoukh, et al. (2007). These finding are robust to the use of numerous methods of sentiment variable computation. Sentiment is a more significant factor during the period from January 1997 to December 2005 when U.S. stock valuations …

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 …