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Articles 1 - 5 of 5
Full-Text Articles in Finance and Financial Management
Volatility Transmission: Evidence From U.K. Reit & Stock Market Implied Volatility, Mutale Katyoka, Simon Stevenson
Volatility Transmission: Evidence From U.K. Reit & Stock Market Implied Volatility, Mutale Katyoka, Simon Stevenson
Finance Faculty Publications
This paper investigates volatility transmission in the U.K. REIT market. It considers how REIT volatility is related to implied volatility in both the overall stock market as well as that derived from traded options on REIT stocks. The multivariate analysis utilizes both Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH specifications to analyze the interdependence of the data. The findings confirm the presence of volatility transmission across the implied volatility of U.K. REITs, the U.K. implied volatility index, and the U.K. REIT index. The study also applies the variance decomposition approach proposed by Diebold and Yilmaz to examine …
The Portfolio Advantages Of Sukuk: Dynamic Correlations Between Bonds And Sukuk, Abdullah Alfalah, Simon Stevenson, Eamonn D'Arcy
The Portfolio Advantages Of Sukuk: Dynamic Correlations Between Bonds And Sukuk, Abdullah Alfalah, Simon Stevenson, Eamonn D'Arcy
Finance Faculty Publications
The growth of the Islamic finance sector has been well-documented. One of the most booming sectors has been Sukuk. According to several past studies, non-Islamic investors' interest in Sukuk is due, at least in part, to the diversification benefits that Sukuk provides in the context of a fixed-income portfolio. This paper compares a pair between Sukuk and Bonds in the Malaysian market issued by the same issuer to have an unbiased comparison. Using unconditional correlation methodology provides an initial examination of the relationship between the matched pairs. In addition, this paper adopts the standard GARCH-DCC approach of Engle (2002). This …
Improving Stock Trading Decisions Based On Pattern Recognition Using Machine Learning Technology, Yaohu Lin, Shancun Liu, Haijun Yang, Harris Wu, Bingbing Jiang
Improving Stock Trading Decisions Based On Pattern Recognition Using Machine Learning Technology, Yaohu Lin, Shancun Liu, Haijun Yang, Harris Wu, Bingbing Jiang
Information Technology & Decision Sciences Faculty Publications
PRML, a novel candlestick pattern recognition model using machine learning methods, is proposed to improve stock trading decisions. Four popular machine learning methods and 11 different features types are applied to all possible combinations of daily patterns to start the pattern recognition schedule. Different time windows from one to ten days are used to detect the prediction effect at different periods. An investment strategy is constructed according to the identified candlestick patterns and suitable time window. We deploy PRML for the forecast of all Chinese market stocks from Jan 1, 2000 until Oct 30, 2020. Among them, the data from …
Asian Corporate Governance Or Corporate Governance In Asia?, Shaomin Li, Anil Nair
Asian Corporate Governance Or Corporate Governance In Asia?, Shaomin Li, Anil Nair
Management Faculty Publications
Corporate governance has become an important issue for Chinese and Indian firms as they increasingly interact with regulators and investors from developed markets. For instance, tapping into global capital markets to raise funds to finance their domestic and international growth requires firms from China and India to demonstrate strong corporate governance credentials, so that investors do not discount their stock (LaPorta, Lopez-de-Silanes, Shleifer, & Vishny, 2000). The swift action of Chinese and Indian authorities in response to recent corporate scandals – such as the one at Satyam Computers – reveals that even governments in emerging countries such as China and …
Divergent Opinions And Value Stock Performance, John A. Doukas
Divergent Opinions And Value Stock Performance, John A. Doukas
Finance Faculty Publications
Those who believe that capital markets—that is, markets for stocks and bonds—operate efficiently and asset prices fully reflect all publicly available information are engaged in an ongoing debate about the exact interpretation of the “value premium” with those who reject this view. Value premium refers to the superior returns generated by the purchase of value stocks relative to growth, or glamour, stocks. Rationalists, the group believing in market efficiency, argue that because value stocks are fundamentally riskier than growth stocks, the value premium is compensation for bearing risk. Behavioralists, the group arguing that market asset prices don’t reflect all publicly …