Chapman and Hall/CRC
651 pages | 89 B/W Illus.
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.
"…This book brings together thirty-four papers that examine volatility in developed and emerging markets, the modeling of volatility, and portfolio management in the presence of volatility. This book should benefit readers interested in the various facets of volatility."
—Tarun Chordia, Professor of Finance, Goizueta Business School, Emory University, Atlanta, Georgia, USA
"From GARCH to portfolio management—the latest addition to the Gregoriou stable, comprehensive and thorough as always, covers models, applications, and empirical properties of stock market volatility."
—Carol Alexander, Chair of Risk Management and Director of Research, Business School, ICMA Center, University of Reading, UK
"This book provides the most comprehensive examination of market volatility that I have seen anywhere—including those associated with the equity markets (of both emerging and developed economies), hedge funds, and volatility related to microstructure effects. A must-read for academics, graduate students, and market practitioners."
—Sugato Chakravarty, Professor and Head of Department of Consumer Sciences, Purdue University, West Lafayette, Indiana, USA
"…a comprehensive compendium of advanced techniques for volatility modeling and their practical application to portfolio management and hedge funds. It provides valuable insights on volatility behavior in the developed market and on the interaction between institutional environment and stock volatility in emerging markets."
—Stan Uryasev, Professor and Director of Risk Management and Financial Engineering Lab, University of Florida, Gainesville, USA
"Stock Market Volatility addresses one of the most central as well as fascinating subjects in finance. The volume provides an outstanding summary of what is up-to-date practical as well as academic thought on the subject. It is surely a volume finance professionals want hands-on access to."
—Niklas Wagner, Professor of Finance and Financial Control, Passau University, Germany
"…This book addresses the full range of critical issues of stock market volatility that practitioners as well as academics are faced with in this globalized and fast-acting investment world."
—Christian Hoppe, Senior Specialist Securitization and Credit Derivatives, Commerzbank AG, Germany
Modeling Stock Market Volatility
An Overview of the Issues Surrounding Stock Market Volatility
Elena Kalotychou and Sotiris K. Staikouras
Analysis of Stock Market Volatility by Continuous-Time GARCH Models
Gernot Müller, Robert B. Durand, Ross Maller, and Claudia Klüppelberg
Price Volatility in the Context of Market Microstructure
Peter Lerner and Chunchi Wu
GARCH Modeling of Stock Market Volatility
Rachael Carroll and Colm Kearney
Detecting and Exploiting Regime Switching ARCH Dynamics in U.S. Stock and Bond Returns
A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios
The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule
Craig Ellis and Maike Sundmacher
Jumps and Microstructure Noise in Stock Price Volatility
Portfolio Management and Hedge Fund Volatility
Mean-Variance versus Mean-VaR and Mean-Utility Spanning
Laurent Bodson and Georges Hübner
Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation
Jason C. Hsu and Feifei Li
Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies
Wolfgang Breuer, Marc Gürtler, and Olaf Stotz
Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
Michael Schyns, Georges Hübner, and Yves Crama
The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds
Giampaolo Gabbi, Andrea Limone, and Roberto Renò
Dampening Hedge Fund Volatility through Funds of Hedge Funds
Jodie Gunzberg and Audrey Wang
Information Transmission across Stock and Bond Markets: International Evidence
Charlie X. Cai, Robert Faff, David Hillier, and Suntharee Lhaopadchan
Developed Country Volatility
Predictability of Risk Measures in International Stock Markets
Turan G. Bali and K. Ozgur Demirtas
Surging OBS Activities and Bank Revenue Volatility: How to Explain the Declining Appeal of Bank Stocks in Canada
Christian Calmès and Raymond Théoret
Usage of Stock Index Options: Evidence from the Italian Market
Cross-Sectional Return Dispersions and Risk in Global Equity Markets
Thomas C. Chiang
News, Trading, and Stock Return Volatility
The Correlation of a Firm’s Credit Spread with Its Stock Price: Evidence from Credit Default Swaps
Modeling the Volatility of the FTSE100 Index Using High-Frequency Data Sets
David E. Allen and Marcel Scharth
Emerging Market Volatility
Economic Integration on the China Stock Market, before and after the Asian Financial Crisis
Jack Penm and R.D. Terrell
Do Tigers Care about Dragons? Spillovers in Returns and Volatility between Chinese Stock Markets
Optimal Settlement Lag for Securities Transactions: An Application to Southeast Stock Exchanges
Marco Rossi and Raphael W. Lam
Seasonality and the Relation between Volatility and Returns: Evidence from Turkish Financial Markets
Oktay Tas, Cumhur Ekinci, and Zeynep Iltüzer Samur
Are Macroeconomic Variables Important for the Stock Market Volatility? Evidence from the Istanbul Stock Exchange
M. Nihat Solakoglu, Nazmi Demir, and Mehmet Orhan
Forecasting Default Probability without Accounting Data: Evidence from Russia
Recent Assessments on Mean Reversion in the Middle East Stock Markets
Sam Hakim and Simon Neaime
Stock Market Volatility and Market Risk in Emerging Markets: Evidence from India
Sumon Kumar Bhaumik, Suchismita Bose, and Rudra Sensarma
Stock Market Volatility and Political Risk in Latin America: The Case of Terrorism in Colombia
Ignacio Olmeda and Daniel Sotelsek