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Full-Text Articles in Business
Stock Market And Gdp Growth Volatility Spillovers, Indika Karunanayake, Abbas Valadkhani, Martin O'Brien
Stock Market And Gdp Growth Volatility Spillovers, Indika Karunanayake, Abbas Valadkhani, Martin O'Brien
Faculty of Commerce - Papers (Archive)
This paper examines the interplay between stock market returns and GDP growth rates in four Anglo-Saxon economies located in three separate continents (namely, the US, the UK, Canada and Australia). We analyse the dynamics of cross-country volatility transmission across these countries by using quarterly data from 1959 to 2010 and a multivariate GARCH model. Country specific cross-mean spillovers from GDP growth to stock market returns exist only from the US growth towards its stock market, while country specific cross-mean spillovers from stock market returns towards GDP growth exist in both the US and Australia. The US economy influences all three …
Financial Crises And Stock Market Volatility Transmission: Evidence From Australia, Singapore, The Uk, And The Us, Indika Karunanayake, Abbas Valadkhani, Martin J. O'Brien
Financial Crises And Stock Market Volatility Transmission: Evidence From Australia, Singapore, The Uk, And The Us, Indika Karunanayake, Abbas Valadkhani, Martin J. O'Brien
Faculty of Commerce - Papers (Archive)
With the globalization of international trade and finance, the interaction between international financial markets has increased markedly. Therefore, this paper examines the nature of interaction between stock market returns and their volatility, with a particular focus on the global financial crises in 1998 and 2008 for Australia, Singapore, the UK, and the US. This study applies multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model with dummy variables for weekly data spanning from January 1992 to June 2009. Based on the results obtained from the mean return equations, we could not find any significant impact on returns arising from 1998 and 2008 …
Empirical Analysis Of The Uae Stock Market Volatility, Sami Khedhiri, Naeem Muhammad
Empirical Analysis Of The Uae Stock Market Volatility, Sami Khedhiri, Naeem Muhammad
Faculty of Commerce - Papers (Archive)
Financial market volatility of developed economies have been studied extensively since the 1987 stock market crash as well as the volatility of the East Asian stock markets after the East Asian financial crisis. However the volatility characteristics of the financial markets in the Middle East are far from being thoroughly analysed despite their tremendous growth in recent years. The purpose of this paper is twofold. First, we investigate the volatility characteristics of the UAE stock markets measured by fat tail, volatility clustering, and leverage effects, in order to explore a parsimonious model for the UAE stock market and predict its …
The Impact Of Exchange Rate Volatility On Indonesia's Exports To The Usa: An Application Of Ardl Bounds Testing Procedure, Arief Bustaman, Kankesu Jayanthakumaran
The Impact Of Exchange Rate Volatility On Indonesia's Exports To The Usa: An Application Of Ardl Bounds Testing Procedure, Arief Bustaman, Kankesu Jayanthakumaran
Faculty of Commerce - Papers (Archive)
This paper investigates the long-run and short-run impacts of exchange rate volatility on Indonesias exports of priority commodities to the United States of America over the monthly period 1997-2005. Estimates of cointegration relations are obtained using ARDL bounds testing procedure. Estimates of the short-run dynamics are obtained using an error-correction model. The results show significant positive and negative coefficients among the range of commodities. However, in the long-run, majority of commodities tend to support the traditional view that higher exchange rate of volatility leads to higher cost and to less foreign trade. The net effect of exchange rate uncertainty on …
Stochastic Price Modelling Of High Volatility, Mean-Reverting, Spike-Prone Commodities: The Australian Wholesale Electricity Market, Andrew C. Worthington, Helen Higgs
Stochastic Price Modelling Of High Volatility, Mean-Reverting, Spike-Prone Commodities: The Australian Wholesale Electricity Market, Andrew C. Worthington, Helen Higgs
Faculty of Commerce - Papers (Archive)
It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regimeswitching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in …
Stochastic Price Modelling Of High Volatility, Mean-Reverting, Spike-Prone Commodities: The Australian Wholesale Electricity Market, H. Higgs, A. C. Worthington
Stochastic Price Modelling Of High Volatility, Mean-Reverting, Spike-Prone Commodities: The Australian Wholesale Electricity Market, H. Higgs, A. C. Worthington
Faculty of Commerce - Papers (Archive)
It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regimeswitching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in …