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Article
Publication date: 1 January 2001

Ser‐Huang Poon and Han Lin

Illustrates the impact of major events on UK share prices/returns in the last 35 years and the time series trends of Asian stock markets. Looks at the impact of the 1997…

Abstract

Illustrates the impact of major events on UK share prices/returns in the last 35 years and the time series trends of Asian stock markets. Looks at the impact of the 1997 Asian crisis on Asian financial markets from the US investor’s point of view, comparing 1994‐1999 data for the “tiger markets” with the mature markets of the USA, UK and Japan using a conservative investment strategy to “minimize the probability of loss”. Shows that a mixed portfolio gave higher returns than US domestic returns with less risk. Confirms this using the tail index based on extreme value theory; and shows that correlation has a positive relationship with volatility but a negative relationship with returns. Adds that, during stock market downturn, the increase in correlation and volatility may cancel out the benefits of diversification.

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Managerial Finance, vol. 27 no. 1/2
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 29 February 2008

Namwon Hyung, Ser-Huang Poon and Clive W.J. Granger

This paper compares the out-of-sample forecasting performance of three long-memory volatility models (i.e., fractionally integrated (FI), break and regime switching…

Abstract

This paper compares the out-of-sample forecasting performance of three long-memory volatility models (i.e., fractionally integrated (FI), break and regime switching) against three short-memory models (i.e., GARCH, GJR and volatility component). Using S&P 500 returns, we find that structural break models produced the best out-of-sample forecasts, if future volatility breaks are known. Without knowing the future breaks, GJR models produced the best short-horizon forecasts and FI models dominated for volatility forecasts of 10 days and beyond. The results suggest that S&P 500 volatility is non-stationary at least in some time periods. Controlling for extreme events (e.g., the 1987 crash) significantly improved forecasting performance.

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Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

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Article
Publication date: 1 March 2004

Nidal Rashid Sabri

This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead…

Abstract

This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple‐regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty‐eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.

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Review of Accounting and Finance, vol. 3 no. 3
Type: Research Article
ISSN: 1475-7702

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Book part
Publication date: 29 February 2008

Abstract

Details

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

To view the access options for this content please click here
Book part
Publication date: 29 February 2008

Abstract

Details

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

To view the access options for this content please click here
Book part
Publication date: 29 February 2008

David E. Rapach and Mark E. Wohar

We thank the Simon Center for Regional Forecasting at the John Cook School of Business at Saint Louis University – especially Jack Strauss, Director of the Simon Center…

Abstract

We thank the Simon Center for Regional Forecasting at the John Cook School of Business at Saint Louis University – especially Jack Strauss, Director of the Simon Center and Ellen Harshman, Dean of the Cook School – for its generosity and hospitality in hosting a conference during the summer of 2006 where many of the chapters appearing in this volume were presented. The conference provided a forum for discussing many important issues relating to forecasting in the presence of structural breaks and model uncertainty, and participants viewed the conference as helping to significantly improve the quality of the research appearing in the chapters of this volume.3 This volume is part of Elsevier's new series, Frontiers of Economics and Globalization, and we also thank Hamid Beladi for his support as an Editor of the series.

Details

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

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