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Articles 1 - 7 of 7
Full-Text Articles in Business
Determinants Of Fdi And Fpi Volatility: An E-Garch Approach, Philip I. Nwosa, Omolade Adeleke
Determinants Of Fdi And Fpi Volatility: An E-Garch Approach, Philip I. Nwosa, Omolade Adeleke
CBN Journal of Applied Statistics (JAS)
This study examined the determinants of Foreign Direct Investment (FDI) and Foreign Portfolio Investment (FPI) volatility in Nigeria. The study used annual data covering the periods 1986 to 2016 and the EGARCH approach was employed. The study observed that trade openness and world GDP were the significant determinants of FDI volatility, while domestic interest rate and stock market capitalization were significant determinants of FPI volatility in Nigeria. Other variables were insignificant in influencing volatility in FDI and FPI. Consequently, the study recommends the need for the prudent management of these determinants (with particular reference to indigenous variables) to ensure reduced …
Forecasting The Volatilities Of The Nigeria Stock Market Prices, Sikiru O. Ibrahim
Forecasting The Volatilities Of The Nigeria Stock Market Prices, Sikiru O. Ibrahim
CBN Journal of Applied Statistics (JAS)
The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the capability to show the asymmetric effect. The assessment of volatilities in prices for 1985 to 2014 shows clustering, over the years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the …
Dividend Policy In A Frontier Market And Sector Equity Traded Funds In The United States, Abdulrahman Alharbi
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 …
Measurement Of Commodity Price Risk: An Overview Of Brazilian Agricultural Markets, Daniel Henrique Dario Capitani, Fabio Mattos
Measurement Of Commodity Price Risk: An Overview Of Brazilian Agricultural Markets, Daniel Henrique Dario Capitani, Fabio Mattos
Department of Agricultural Economics: Faculty Publications
This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other commodities show small price variability and large downside risk. Thus, there is no single answer to the question of which commodity exhibits more price risk, but rather distinct answers depending on how risk is perceived by different individuals. …
An Application Of Asymmetric Garch Models On Volatility Of Banks Equity In Nigeria’S Stock Market, Omorogbe J. Asemota, Uchenna C. Ekejiuba
An Application Of Asymmetric Garch Models On Volatility Of Banks Equity In Nigeria’S Stock Market, Omorogbe J. Asemota, Uchenna C. Ekejiuba
CBN Journal of Applied Statistics (JAS)
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated models using standard criteria, EGARCH (1, 1) and CGARCH (1, 1) model in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered for robustness of results. We …
Is Google Search Behavior Related To Volatility? Incorporating Google Trends Data Into A Garch Model For Equity Volatility, Timothy De Silva
Is Google Search Behavior Related To Volatility? Incorporating Google Trends Data Into A Garch Model For Equity Volatility, Timothy De Silva
Undergraduate Economic Review
Intuitively, one would expect that internet search volume would contain valuable information about investor sentiment for a company. With the development of new data sources, such as Google Trends, this relationship can be more easily and objectively examined. This paper seeks to examine the relationship between a company’s stock price volatility and its Google search volume. A small cross-section of twenty companies is considered, and the goal of this paper is to demonstrate the power of Google Trends data in hope of initiating further research. Using a conventional GARCH framework for financial market volatility, an economically and statistically significant contemporaneous …
The Importance Of Profitability In Determining Volatility Across Industries With Different Debt Levels, Timothy De Silva
The Importance Of Profitability In Determining Volatility Across Industries With Different Debt Levels, Timothy De Silva
Undergraduate Economic Review
This paper seeks to investigate the relationship between debt and volatility. No consensus currently exists on the effects of financial leverage on stock volatility. With the increased use of complex financial derivatives in recent decades, the importance of understanding the factors that influence volatility has become extremely important. By looking at a cross-section of industries, this paper demonstrates how the importance of profitability for explaining volatility changes depending on industry debt levels, which are endogenous and depend on industry characteristics.