Stock market volatility 1st Edition by Greg N Gregoriou ISBN 142009954X 9781420099546

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Product details:

ISBN 10: 142009954X 

ISBN 13: 9781420099546

Author: Greg N. Gregoriou

Up-to-Date Research Sheds New Light on This Area

Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies.

The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives.

Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.

Table of contents:

Part I: Overview of Stock Market Volatility

• Chapter 1: Modeling Stock Market Volatility

• Chapter 2: An Overview of the Issues Surrounding Stock Market Volatility

Part II: Volatility Modeling Techniques

• Chapter 3: Analysis of Stock Market Volatility by Continuous-Time GARCH Models

• Chapter 4: Price Volatility in the Context of Market Microstructure

• Chapter 5: GARCH Modeling of Stock Market Volatility

• Chapter 6: Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns

• Chapter 7: A DCC-VARMA Model of Portfolio Risk: Estimation of Variance-Covariance for Large Portfolios

• Chapter 8: The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule

• Chapter 9: Jumps and Microstructure Noise in Stock Price Volatility

Part III: Portfolio Management and Volatility

• Chapter 10: Portfolio Management and Hedge Fund Volatility: Mean-Variance versus Mean-VaR and Mean-Utility

• Chapter 11: Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation

• Chapter 12: Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies

• Chapter 13: Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology

• Chapter 14: The Black and Litterman Framework with Higher Moments: Hedge Funds

• Chapter 15: Dampening Hedge Fund Volatility through Funds of Hedge Funds

Part IV: Volatility Transmission and International Evidence

• Chapter 16: Information Transmission across Stock and Bond Markets: International Evidence

• Chapter 17: Developed Country Volatility: Predictability of Risk Measures in International Stock Markets

• Chapter 18: Surging OBS Activities and Bank Revenue Volatility: Declining Appeal of Bank Stocks

• Chapter 19: Usage of Stock Index Options: Evidence from the Italian Market

• Chapter 20: Cross-Sectional Return Dispersions and Risk in Global Equity Markets

• Chapter 21: News, Trading, and Stock Return Volatility

• Chapter 22: Correlation of a Firm’s Credit Spread with Its Stock Price: Evidence from Credit Default Swaps

• Chapter 23: Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets

Part V: Emerging Market Volatility

• Chapter 24: Economic Integration on the China Stock Market Before and After the Asian Financial Crisis

• Chapter 25: Spillovers in Returns and Volatility between Chinese Stock Markets

• Chapter 26: Optimal Settlement Lag for Securities Transactions: Southeast Stock Exchanges

• Chapter 27: Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets

• Chapter 28: Are Macroeconomic Variables Important for Stock Market Volatility? Evidence from Istanbul

• Chapter 29: Forecasting Default Probability without Accounting Data: Evidence from Russia

• Chapter 30: Recent Assessments on Mean Reversion in Middle East Stock Markets

• Chapter 31: Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India

• Chapter 32: Stock Market Volatility and Political Risk in Latin America: The Case of Terrorism in Colombia

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Tags: Greg N Gregoriou, Stock, Market, Volatility