Search results

In recent years, frequent volatility is deeply influencing meat industry, household lives and macroeconomics. The main purpose of this paper is to analyze the volatility of Chinese meat price, and provide suggestions on stabilizing the meat market.

This paper uses (G) ARCH, (G) ARCH‐M, TARCH and EGARCH models to analyze volatility and its asymmetry of Chinese meat price.

Estimation result of (G) ARCH model shows volatility clustering of meat price. Estimation result of (G) ARCH‐M model shows high risk and low return in beef market. ARCH and EGARCH models estimation results show non‐symmetry of volatility of beef, mutton and chicken price, and volatility caused by falling price is smaller than that caused by rising price.

This paper shows that volatility of meat price can be predicted and Chinese meat market is not perfect, and special attention to the factors causing rise in meat price is necessary.

The purpose of this study is to examine how the volatility interruption (VI) mechanisms affect idiosyncratic volatilities in Korean stock markets.

Collecting the South Korea Stock Market (KOSPI) data from June 15, 2015 to March 31, 2019, we collect each residual,  εi,t, from three different estimated models: capital asset pricing model (CAPM), FF3 and FF5. To estimate the conditional idiosyncratic volatility, the authors employ two conditional time-varying measurements: GARCH and TGARCH.

The results show that the conditional idiosyncratic volatility increases when stock prices reach the upper and lower static limits, indicating the implementation of adopting static VI mechanism neither stabilize market conditions nor reduce excess volatility along with the existence of price limits.

Although market regulators and policymakers improve market conditions with the advanced VI mechanism, the empirical results show the adverse effect of the mechanism. Not allowing investors to earn above average returns without accepting above average risks makes Korean stock markets inefficient along with advanced VI mechanisms.

This paper aims to investigate price responses and volatility spillovers between commodity spot and futures markets. The study ultimately seeks the evidence-based claims on the efficiency of the long run and short run horizontal price transmissions from futures markets to spot markets.

This study used the most recent daily price series of pepper, cardamom and rubber, during the period 2004–2019, use “cointegration-ECM-GARCH framework” and verify the persisting validity of the “expectancy theory” of commodity futures pricing.

The results offer overwhelming evidence of futures market dominance in the price discoveries and volatility spillovers in spot markets. However, this paper finds asymmetric responses between cash and futures prices across markets. The hedging efficiency of futures contracts is commodities specific’ where spices futures are more efficient than the rubber futures.

The study passes on vital information to the producers and traders of spices and rubber who have a potential interest in the use of futures contracts to make profits from arbitrage between futures and cash markets.

The paper is unique in terms of understanding asymmetric price linkages in markets for plantation crops.

The purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency. Further, we investigate how the difference in market timings affect the impact of ETFs on their constituents. Lastly, we examine how these effects vary during tranquil and turmoil periods in the ETF markets.

The study is based on quarterly data for stocks comprising the CNX Nifty 50 Index from 2009Q1 to 2019Q3. The data on holdings of 45 domestic and 196 foreign ETFs in the sample stocks were obtained from Thomson Reuters' Eikon. The paper employs a panel-regression methodology with stock and time fixed effects and robust standard errors.

Foreign ETFs from North America and the Asia Pacific largely have an adverse impact on stocks' return volatility. In times of turmoil, stocks with higher coverage of European, North American and Domestic funds are susceptible to volatility shocks emanating from these regions. European and Asia Pacific ETFs are associated with improved price discovery while North American funds impound a mean-reverting component in stock prices. However, in turbulent markets, both positive and negative impacts of ETFs on pricing efficiency coexist.

To the best of the authors' knowledge, this is the first study that examines the impact of domestic as well as foreign ETFs on the equities of an emerging market. Furthermore, the study is unique as we investigate how the effects of ETFs vary in turbulent and tranquil markets. Moreover, the paper examines the role of asynchronous market timings in determining the ETF impact. The paper adds to the growing literature on the unintended consequences of index-linked products.

The purpose of this paper is to explore the forecasting effectiveness of Black-Scholes (BS) focussing parity analysis of time series econometric and implied volatility (IV) numerical techniques.

To analyze the comparative competitiveness of econometric time series and IV models this paper consolidated the study with their inter-relations leading toward multilayered moneyness-maturity correlation of model and market option prices, thoroughly determined the moneyness-maturity combinations of error metrics of Nifty index options.

Out of six models tested and critically examined here, the paper procures only a single model, IV, which best caters to the requirements of option traders and as a result the paper ended up that only IV supports to multifarious moneyness-maturity dimension of option pricing of Nifty index options. The analysis also confirms that the standard VIX is not a reliable tool for determining the base price of Nifty index options (via BS). As the IV landmarks during the most dynamic phase of Indian capital market which is a touchstone to justify the quality of any model, the paper can deduce that IV could continue to perform in hardships of financial contraction par smoothly and effectively.

The final outcome of this research which ended successfully in exploring a dominant model, guided successfully through the most volatile period of Indian economy can be used to safe guard investor's faith and to figure a design which could compete on the canvass of option pricing.

As equity market is always subject to highly unpredictable conditions and may keep on experiencing it through all times to come, the unified objective of research is to find out the most impeccable volatility model to meet out the requirements of option practitioners, specifically contributing upto the satisfaction and expected results during tumultuous period.

This paper attempts to model the transmission of volatility between producer and consumer prices in the fresh potato, tomato, and cucumber markets in Greece.

The transmission mechanism of the price volatility is modeled using the most popular multivariate GARCH models while taking into consideration possible asymmetries in the transmission process. The models utilized are the DVECH and the BEKK models from the VECH family, as well as the CCC model and the DCC model from the family of conditional correlation models. The possible asymmetric effects are evaluated using asymmetric GARCH models, as well as estimating volatility impulse responses for independent shocks.

The results reveal that, in the tomato and cucumber markets, which are regulated by the Common Market Organization of fruits and vegetables, producers are less vulnerable to volatility shocks transmitted from consumers. In contrast, in the non-regulated potato market, producers are affected by spillover effects from consumers.

This study is limited to a few commodities (i.e. potatoes, tomatoes, and cucumbers); however, it could be extended to additional commodities.

The results of this study show that, if producers are organized on a cooperative basis within the regulative framework of the CAP, like the tomato and cucumber producers, their place in the food supply chain is strengthened, although the CAP targets more market-oriented agricultural markets that are more exposed to world prices.

The present study attempts to understand the transmission of volatility between producer and consumer prices in the fresh potato, tomato, and cucumber markets in Greece, which is not apparent from previous studies. Furthermore, the volatility clusters that are identified in the present study are associated with certain CAP reforms.

The purpose of this paper is to re-examine the effectiveness of price limits on stock volatilities in China over a more recent time period spanning from 2007 to 2012. The motivation stems from the fact that very high stock market volatilities are observed in China and we are sceptical of the volatility mitigating effect claimed by advocates of price limits.

The effectiveness of price limits on volatilities is examined using an event study methodology and within an expanded framework of volatility-volume relationships. The sample stocks include the 300 component stocks of the CSI300 Index.

Both event study and regression analysis suggest that price limits exaggerate market volatilities by causing volatility spillovers. The destabilising effect is much more pronounced for small firm stocks and when the market falls. In addition to the informational source of volatilities (represented by volume), price limits create another non-trivial frictional source of volatilities in China’s stock market.

This research is the first to re-examine the price limit effect in China’s stock market in an expanded framework of volatility-volume relationships. It identifies price limits, in addition to information, as another non-trivial frictional source of volatilities. The findings derived from a recent sample period confirm the conventional view of inefficiency of price limits raised by Fama (1989) and provide evidence in support of the pervasive trend of stock market deregulations.

This paper aims to examine the nexus between the pricing of market-wide volatility risk and distress risk in the cross-section of portfolio returns for the 1990-2011 time period. The author expands upon prior research by constructing an ex post factor that mimics aggregate volatility risk based on the new VIX index of the Chicago Board Options Exchange, termed FVIX, as well as focuses on volatility risk in crisis versus non-crisis time periods.

The author investigates the relationship between volatility and distress risk using several techniques in the empirical finance literature. Specifically, the author investigates the behavior of correlations between risk factors as well as the correlations between factor loadings when using the Fama and French research portfolios as our test assets for different time periods. Additionally, the author examines the variation in the volatility factor loadings across the size- and value-sorted portfolios and assesses whether augmenting conventional pricing models with a volatility factor leads to a higher goodness-of-fit in pricing the 25 size- and value-sorted portfolios.

The author’s results suggest that factor volatilities are high during periods of market turmoil. In addition, the author presents evidence indicating that a factor mimicking innovation in volatility (based on the new VIX) is correlated with the market and momentum factors, while exhibiting the uncorrelated behavior with respect to the size, value and liquidity factors when using data from 1990 through 2011. In this paper, the author finds that the aggregate volatility factor’s correlation with the market and momentum factors increases during crisis periods. In periods of relative market tranquility, correlations decrease significantly. In examining multivariate factor loadings for the test assets, the results provide no clear pattern with regard to the variation of the volatility loadings across the book-to-market and size dimensions. Furthermore, the author finds that conventional pricing models are comparable to FVIX-augmented pricing models, in terms of goodness-of-fit, when pricing the 25 Fama-French size- and value-sorted portfolios. Additionally, when using the FVIX volatility factor to proxy for aggregate volatility risk, the coefficients are never significant statistically, thus revealing that innovations in aggregate volatility based on the new VIX index do not constitute a priced risk factor in the cross-section of returns.

The author’ finding indicates an absence of strong variation of the volatility factor loadings across the Fama-French research portfolios. In particular, the asset pricing results cast doubt on whether a factor mimicking innovations in aggregate volatility based on the new VIX index is priced. In agreement with prior research, the author believes that the inseparability of volatility and jump risk in the VIX can be a possible explanation of the current findings in this paper.

I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to fit financial time series and at the same time provide powerful tools to test hypotheses formulated in the light of financial theories, and to generate positive economic value, as measured by risk-adjusted performances, in dynamic asset allocation applications. The chapter also reviews the role of Markov switching dynamics in modern asset pricing models in which the no-arbitrage principle is used to characterize the properties of the fundamental pricing measure in the presence of regimes.

The nexus of commodity prices with inflation is one of the main concerns for a nation's economy like India. The literature does not have enough volatility-based study, especially using the multivariate GRACH family of models to find a link between these two. It is the main reason for the conduct of this study. This paper aims to estimate the volatility effects of commodity prices on inflation.

For ten years (2011–2022), future prices of selected seven agriculture commodities and inflation indices (wholesale price index [WPI] and consumer price index [CPI]) are gathered every month. BEKK GARCH model (BGM) and DCC GARCH model (DGM) are employed to determine the volatility effect of commodity prices (CPs) on inflation.

The authors find that volatility's short-term (shock) impact on agricultural CPs to inflation does not exist. However, the long-term volatility spillover effect (VSE) is significant from commodities to inflation.

The study's findings have a significant implication for the policymakers to take a long-term view on inflation management regarding commodity prices. The findings can facilitate policy on the choice of commodities and the flexibility of their trading on the commodities derivatives market.

The findings of the study are unique. The authors do not observe any study on the volatility effect of agri-commodities (agricultural commodities) prices on inflation in India. This paper applies advanced techniques to provide novel and reliable evidence. Hence, this research is believed to contribute significantly to the knowledge body through its novel evidence and advanced approach.