1st Edition

Stock Market Volatility

Edited By Greg N. Gregoriou Copyright 2009
    651 Pages 89 B/W Illustrations
    by Chapman & Hall

    652 Pages 89 B/W Illustrations
    by Chapman & Hall

    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.

    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

    Massimo Guidolin

    A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios

    Valerio Potì

    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

    Rituparna Sen

    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

    Rosa Cocozza

    Cross-Sectional Return Dispersions and Risk in Global Equity Markets

    Thomas C. Chiang

    News, Trading, and Stock Return Volatility

    Vladimir Zdorovtsov

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

    Martin Scheicher

    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

    Bartosz Gebka

    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

    Dean Fantazzini

    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



    Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at the State University of New York, Plattsburgh. Dr. Gregoriou has authored nearly thirty books, has published more than fifty academic articles, and is the hedge fund editor and editorial board member of the Journal of Derivatives and Hedge Funds as well as editorial board member of the Journal of Wealth Management and the Journal of Risk and Financial Institutions.

    "…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