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Finance and Financial Management Commons™
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- : Closed–end funds (1)
- Board Structure (1)
- Conditional factor models (1)
- Corporate Governance (1)
- Equity Traded Fund (1)
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- GARCH-DCC, Future markets , Portfolio Design, Hedging Effectiveness, Bond Markets, Sovereign Yield Spreads. (1)
- Government Ownership (1)
- International diversification (1)
- Return Predictability (1)
- Static volatility interruption, dynamic volatility interruption, conditional idiosyncratic volatility, volatility spill-over, stock return, market capitalization (1)
- Threshold, asymmetry, Price discovery, cointegration, Liquidity, Financial Intermediaries (1)
- Time Varying Loss Aversion, House Money Effects (1)
- Volatility (1)
Articles 1 - 5 of 5
Full-Text Articles in Finance and Financial Management
Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul
Volatility Interruptions, Idiosyncratic Risk, And Stock Return, Saad A. Alsunbul
University of New Orleans Theses and Dissertations
The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach …
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 …
Two Essays In Finance And Economics: “Investment Opportunities In Commodity And Stock Markets For G7 Countries” And “Global And Local Factors Affecting Sovereign Yield Spreads”, Selma Izadi
University of New Orleans Theses and Dissertations
In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the …
Two Essays In Empirical Asset Pricing, Abdullah M. Noman
Two Essays In Empirical Asset Pricing, Abdullah M. Noman
University of New Orleans Theses and Dissertations
The dissertation consists of two essays. The first essay investigates the ability of prior returns, relative to some aggregate market returns, to predict future returns on industry style portfolios. By pooling time series of returns across industries for the period between July 1969 and June 2012, we find that prior returns differential predicts one month ahead returns negatively, even in the presence of a set of popular state variables. The predictability remains significant and negative for up to 5 month ahead returns. The predictability is shown to be robust to alternative specifications, estimation methodology and industry classifications. A possible explanation …
Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And, Geoffrey M. Ngene
Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And, Geoffrey M. Ngene
University of New Orleans Theses and Dissertations
In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and …