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Studies In Volatility, Nazli Sila Alan
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
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
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 …