Managerial Finance: Volume 20 Issue 5

Models for Predicting Prices and Volatility Patterns in Major International Stock Markets

Panayiotis Theodossiou

This study presents various GARCH models for predicting movements (returns) and volatility patterns in major national stock market indices. These models depict that future returns…

Instabilities and Chaotic Behavior of Stock Prices in International Capital Markets

George C. Philippatos

In this paper chaos is viewed as an alternative approach to modeling complex and random appearing behavior. The spatial (static) characteristics of weekly returns and price levels…

Athens Stock Exchange: Organization, Management, and Behavior of Major Stock Market Indices

Christos Negakis, Dimitris Kambouris

This paper explores some institutional aspects of the Athens Stock Exchange (ASE) and investigates the time‐series properties of three major ASE stock indices. The results depict…

Modeling Volatility of Foreign Exchange Price Changes

Emel Kahya, Gregory Koutmos, Diep Nuven

This paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the…

Exchange Rates and the Role of the Trade Balance Account

John Doukas, Steve Lifland

The essence of the modern asset‐market approach to the analysis of exchange rate behavior includes the role of the trade balance account. We examine the relationship between…

Implicit Volatility and the Pricing of Stock Index and Interest Rate Options in US Markets

George C. Philippatos, Nicolas Gressis, Philip L. Baird

The Black‐Scholes (B‐S) model in its various formulations has been the mainstay paradigm on option pricing since its basic formulation in 1973. The model has generally been proven…