This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in the Saudi Exchange (Tadawul). The sample comprises 15 sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using TGARCH.
This paper investigates the interdependence between the Vietnamese stock market and other influential equity markets in terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global Financial Crisis.
The effects of financial crises on international stock market volatility transmission Abstract With the integration of national economies through international trade and finance, the exploration of financial market interdependency has become profoundly important among market participants and scholars.
Abstract. This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies.
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Two integrated stock markets are generally subjected to common shocks revealing that commonalities in fundamentals drive their underlying return processes. In such a case, volatility series should share a long-run component although their transitory components might temporary diverge. In this paper, we investigate stock market integration in East Asia by analyzing the co-persistent nature of.
Vanguard Research February 2019 Global equity investing: The benefits of diversification and sizing your allocation Regardless of where they live, investors have a significant opportunity to diversify their equity portfolios by investing outside their home market.
Returns Volatility” based on the following introduction and overview. 1.1 Stock Market Returns. In a stock market, four stock prices will usually be provided in a day which include open price, close price, high price and low price. Open price is the price at.