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Book part

Suk-Joong Kim and Michael D. McKenzie

Perhaps the most significant development in the global business arena in the post-war period has been the emergence of the Asia-Pacific rim countries as a significant…

Abstract

Perhaps the most significant development in the global business arena in the post-war period has been the emergence of the Asia-Pacific rim countries as a significant economic force.

Details

Asia-Pacific Financial Markets: Integration, Innovation and Challenges
Type: Book
ISBN: 978-0-7623-1471-3

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Article

Robert W. Faff and Michael D. McKenzie

This paper empirically assesses the determinants of conditional stock index autocorrelation with particular emphasis on the impact of return volatility that are…

Abstract

Purpose

This paper empirically assesses the determinants of conditional stock index autocorrelation with particular emphasis on the impact of return volatility that are theoretically linked through the behaviour of feedback traders.

Design/methodology/approach

The S&P 100, 500 and the NASDAQ 100 index are considered and volatility in each series is captured using option‐implied estimates taken from the Chicago Board Options Exchange. A seemingly unrelated regression approach is used in which trading volume and volatility are simultaneously modelled.

Findings

The results of this study suggest that low or even negative return autocorrelations are more likely in situations where: return volatility is high; price falls by a large amount; traded stock volumes are high; and the economy is in a recessionary phase.

Research limitations/implications

The results confirm that previous related work showing a link between autocorrelation and volatility is not induced by a mechanical relation.

Practical implications

Usage of endogenously determined volatility measures in this area of the literature is justified.

Originality/value

This study provides a robustness test of the autocorrelation/volatility relation, as well as a further exploration of the utility inherent in option‐implied volatility.

Details

International Journal of Managerial Finance, vol. 3 no. 2
Type: Research Article
ISSN: 1743-9132

Keywords

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Abstract

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International Banking in the New Era: Post-Crisis Challenges and Opportunities
Type: Book
ISBN: 978-1-84950-913-8

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Book part

Suk-Joong Kim and Michael D. McKenzie

This chapter considers the relationship between stock market autocorrelation and (i) the presence of international investors which is proxied by the level of capital…

Abstract

This chapter considers the relationship between stock market autocorrelation and (i) the presence of international investors which is proxied by the level of capital market integration and (ii) stock market volatility. Drawing from a sample of nine Asia-Pacific stock indices, significant evidence of a relationship between the presence of international investors and the level of stock market autocorrelation is found. This evidence is consistent with the view that international investors are positive feedback traders. Robustness testing of this model suggests that the trading strategy of international investors changed as a result of the Asian currency crisis. The evidence for the role of volatility in explaining autocorrelation is, however, is generally weak and varies across the sample countries.

Details

Asia-Pacific Financial Markets: Integration, Innovation and Challenges
Type: Book
ISBN: 978-0-7623-1471-3

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Book part

Suk-Joong Kim and Michael D. McKenzie

International banking refers to the activities of providing financial services (banking) to clients (both institutional and individual) located in many different…

Abstract

International banking refers to the activities of providing financial services (banking) to clients (both institutional and individual) located in many different countries. This encompasses a wide range of activities, including transactions with foreigners and domestic residents relating to deposits and lending in domestic and foreign currencies, facilitating foreign currency transactions and foreign exchange risk hedging, participating in international loan syndications, and facilitating international trade finance for clients.

Details

International Banking in the New Era: Post-Crisis Challenges and Opportunities
Type: Book
ISBN: 978-1-84950-913-8

To view the access options for this content please click here

Abstract

Details

Asia-Pacific Financial Markets: Integration, Innovation and Challenges
Type: Book
ISBN: 978-0-7623-1471-3

To view the access options for this content please click here

Abstract

Details

International Banking in the New Era: Post-Crisis Challenges and Opportunities
Type: Book
ISBN: 978-1-84950-913-8

To view the access options for this content please click here

Abstract

Details

International Banking in the New Era: Post-Crisis Challenges and Opportunities
Type: Book
ISBN: 978-1-84950-913-8

To view the access options for this content please click here
Book part

International Finance Review is an annual book series in the international finance area (broadly defined). The IFR, will publish theoretical, empirical, institutional or…

Abstract

International Finance Review is an annual book series in the international finance area (broadly defined). The IFR, will publish theoretical, empirical, institutional or policy-oriented articles on multinational business finance and strategies, global capital markets and investments, global risk management, global corporate finance and institutions, currency markets and international financial economics, emerging market finance, or related regional or country-specific issues. In general, each volume will have a particular theme. Those interested in contributing an article or editing a volume should contact the Series Editor, J. Jay Choi at E-mail: jjchoi@astro.temple.edu

Details

Asia-Pacific Financial Markets: Integration, Innovation and Challenges
Type: Book
ISBN: 978-0-7623-1471-3

To view the access options for this content please click here

Abstract

Details

Asia-Pacific Financial Markets: Integration, Innovation and Challenges
Type: Book
ISBN: 978-0-7623-1471-3

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