Ppt on volatility of stock market

Derivatives Derivatives are financial instruments whose value depends on something else (such as stock, stock index, foreign currency, bond or commodity.

/X) + (r - d + σ 2 /2)T]/ σ √T And: d 2 = d 1 - σ √T Implied Volatility Option traders can never fully understand the dynamics behind pricing of stock options and stock option price movements without understanding what is volatility and implied volatility. the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model.optionvolatilitymarket priceoption pricing IV is inferred/


Petroleum Outlook: More Volatility? John Cook Energy Information Administration NPRA Annual Meeting New Orleans, Louisiana March 19, 2001.

Stronger Than Temperatures Would Imply Source: EIA High Production Offset Lack of Inventory Source: EIA High Production Came From High Yields & High Inputs Source: EIA Petroleum Supply Monthly Source: EIA High Margins Bring High Imports Gasoline Price Volatility Is a Concern This Summer Source: Reuters Gasoline Volatility Source: EIA Low Stocks Mean Tight Markets Sources: History: EIA; Projections: Short-Term Energy Outlook, March 2001. Regional/


Global Edition Chapter 19 Analysis of Convertible Bonds.

bond’s price to a change in the expected volatility of the stock’s price. Option Measures (continued) © 2013 Pearson Education  Implied Volatility  In an option pricing model, the only unknown input that must be estimated is expected volatility.  A common practice in the option market is to “back out” what the expected volatility is given the observed market price for the option and the option pricing model/


Lisa Emsbo-Mattingly Director of Asset Allocation Research Dirk Hofschire, CFA SVP, Asset Allocation Research Austin Litvak Senior Analyst, Asset Allocation.

exchange rate, economic, and political risks, all of which are magnified in emerging markets. The securities of smaller, less well-known companies can be more volatile than those of larger companies. Growth stocks can perform differently from the market as a whole and from other types of stocks, and can be more volatile than other types of stocks. Value stocks can perform differently from other types of stocks and can continue to be undervalued by/


Agenda 1 Definitions of inflation and deflation 2

to invest in underlying funds that emphasize alternatives or non-traditional asset categories or investment strategies, and as a result, it is subject to the risk factors of those underlying funds. Some of those risks include stock market risk, credit and interest rate risk, volatility in commodity prices and high-yield debt securities, short sales risk and the political, general economic, liquidity and currency risks/


Low Volatility Equity Investing: Anomaly or Algebraic Artifact Dan diBartolomeo QWAFAFEW Boston August 2013.

for whatever you are defining as the single period –There is the messy problem of double counting because of securitization of lots of fixed income securities –The “multi-asset class” market portfolio will include some stuff that is illiquid A typical stock portfolio would look quite high in volatility compared to the revised market portfolio. –Depending on the correlation you assume across asset classes, it is likely that/


But all of them seek one thing above all else: Clarity. In this lesson, I will try to provide clarity on the India Volatility Index or India Vix in short.

people enjoy the stock market volatility but some get killed by the same volatility. Different people view the same thing differently. Copyright © 2009 Understanding Volatility Index – By Prof. Simply Simple TM First of all, Volatility denotes the extent to which the value of our investment may be subject to the mood of the market over a given period of time. In other words, volatility refers to the amount of uncertainty or risk about/


The role of News Analytics in financial engineering: a review and the road ahead The role of News Analytics in financial engineering: a review and the.

January Study II Over 2008 markets fell Loss of liquidity in credit markets and banking system Many banks suffered bankruptcy or propped up September and October 2008 – Volatility for financial firms particularly high Lehman Bankruptcy Lloyds takeover of HBOS Restrictions on short selling of financials Study II 18 September 2008 to 24 September 2008 Dow Jones 30 Portfolio of three finance stocks Bank of America, CitiGroup and JP Morgan/


Herding in Financial and Political Markets Khurshid Ahmad, Chair of Computer Science Trinity College, Dublin, IRELAND 13-15 th Feb. 2013.

high- frequency trading, the buying and selling of millions of stocks in milliseconds based on algorithmic models. Herding in Equity Markets Guo and Shih (2008) have examined the co-movement of stock prices and its association with herd behaviour during period of high-tech mania using the implications for return data and found 5 key points: 1. return dispersion and volatility dispersion are higher in high-tech industries/


Dr. Hsinchun Chen Director, Artificial Intelligence Lab

prediction Fundamentalists utilize fundamental and financial measures of economy, industry, and firm Economy and sector indicators, financial ratios of the firm Fama-French three factors model (Fama and French 1993) Market return, market capitalization, book to market ratio Currency exchange rates, interest rates, dividends Technicians utilize historical time-series information of the stock and market behavior Historical price, volatility, trading volume Various machine learning models applied Regression/


Research in the Area of Market Microstructure J.C. Lin Collette Endowed Chair of Financial Services and Professor Louisiana State University Prepared for.

able to tap into unexpressed liquidity. Future research?? The Informational Role of Stock and Option Volume By Chan, Chung, and Fong, 2002, ROFS Would informed investors prefer to trade options or stocks? Reasons for options: – Lower transaction cost and greater financial leverage; – Private information on volatility can only be used in the option market; Reason not for options: – Lower liquidity How informative are option trades/


BlackRock 2014 Investment Themes

RECOMMENDATIONS 1 Allocate to Traditional Equities with an investment approach that makes volatility an asset, helping to provide the growth you need at any stage of life 2 Mitigate Risk with Diversified and Alternative Strategies that provide equity-like growth and dampen volatility Even as the stock market approached new highs last year, volatility fears still lingered. For balanced growth, BlackRock suggests: Allocate to traditional equities/


Applications of Option Methods in Corporate Finance Timothy A. Thompson Financial Decisions.

Exercise price (strike price) Stock price Stock price Current market price of underlying assetCurrent market price of underlying asset Dividends Dividends Annualized dividend to price ratio and cont. comp.Annualized dividend to price ratio and cont. comp. Or subtract present value of dividends from stock priceOr subtract present value of dividends from stock price Volatility Volatility Standard deviation of the rate of return on the underlying assetStandard deviation of the rate of return on the underlying/


Hedge Funds Variables and SEO Volatility By Rosemary Walker, Rob Hull, and Sungkyu Kwak Presentation by Rosemary Walker, April 5, 2011 Washburn University.

common belief that hedge funds are playing havoc with the markets, we sought to empirically examine the impact of hedge funds on stock return volatility. In particular, we wanted to answer this question: “To what extent can hedge funds influence stock return volatility surrounding the announcements of major corporate events?” To answer this question, we examine one of the more common major corporate events: seasoned equity offerings (SEOs/


Mean-Reverting Models in Financial and Energy Markets Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and.

Canada Index for 5 years (1997-2002) Histograms of Log. Returns for S&P60 Canada Index S&P60 Canada Index Volatility Swap Realized Continuous Variance for Stochastic Volatility with Delay Initial Data deterministic function Stock Price Equation for Stochastic Variance with Delay (Continuous-Time GARCH Model) Our (Kazmerchuk, Swishchuk, Wu (2002) “The Option Pricing Formula for Security Markets with Delayed Response”) first attempt was: This/


Mean-Reverting Models in Financial and Energy Markets Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and.

Canada Index for 5 years (1997-2002) Histograms of Log. Returns for S&P60 Canada Index S&P60 Canada Index Volatility Swap Realized Continuous Variance for Stochastic Volatility with Delay Initial Data deterministic function Stock Price Equation for Stochastic Variance with Delay (Continuous-Time GARCH Model) Our (Kazmerchuk, Swishchuk, Wu (2002) “The Option Pricing Formula for Security Markets with Delayed Response”) first attempt was: This/


Name Title John Hancock Investments Date

not the answer for long-term investors We are going to live with it for a while 1 We are going to live with it for a while The level of stock market volatility in recent years is unprecedented S&P 500 Index, 1950 through 2013 (trading days per year with greater than +/–2% returns) Lehman Brothers bankruptcy Enron, WorldCom bankruptcies European sovereign debt/


1 BPM: A New Approach to CSR The Butler Pinkerton Model TM : A New Approach to Company-Specific Risk Rhode Island Society of CPAs Providence, Rhode Island.

risks faced by the entrepreneurial investor. These companies may experience wild stock price fluctuations. Volatilities estimated from these companies’ stock prices may be excessive …” −“Another benefit of our model is that it does not use a risk measure based on the stock price volatility of market-comparable companies. This avoids the possibly problematic volatility measurements due to excess volatility or inappropriate comparables.” 46 BPM: A New Approach to CSR Answer/


On the behaviour of financial markets: Price and Volume Fluctuations Khurshid Ahmad, Chair of Computer Science Trinity College, Dublin, IRELAND 17-19 Nov.

business activity. 2. Due to the efficient and emotional nature of stock transactions, the stock market itself is a direct measure or gauge of social mood. 3. Since the tone and character of business activity follows, rather than leads, social mood, stock market trends help forecast future financial and economic activity. Specific predictions about stock market levels and trading volume, market volatility, firm expansion, leverage use, and IPO and M&A activity/


The Missing Risk Premium: Why Low Volatility Investing Works Eric Falkenstein 2013 Copyright 2013 Eric G Falkenstein1.

with something include something very like the stock market as one of the prominent factors 26 Copyright 2013 Eric G Falkenstein Hope for Final Theory Empirical Evidence Copyright 2013 Eric G Falkenstein27 ReturnVolatility Small Stocks17.30%33.4% Stocks13%20.2% Corporate Bonds6.0%8.7% Government Bonds5.70%9.4% T-bills3.90%3.2% Volatility Often Used as a Risk Shorthand Brealey/


1 Chapter 7 Currency Crises and Financial Volatility © Pierre-Richard Agénor The World Bank.

monetary policy consistent with low inflation; l ensuring that the ratio of unhedged foreign debt over official reserves remains sufficiently low. 122 l Adequate management of the public foreign- currency debt is an important component of a strategy to reduce the volatility of capital flows. l Large stock of foreign-currency debt may magnify the impact of adverse external shocks on the economy and may constrain the policy/


1 Pulling the Rabbit Out of the GRAT Hat: Some of the Most Creative GRAT Planning Ideas We See Out There.

sometimes make that purchase (the so ‑ called “winged ‑ tip” strategy) when they are betting on market volatility. There are circumstances when neither strategy would work (because that stock is flat or the markets are flat). Even so, in most instances one of the GRATs will always work and the failure of the other will be costless (apart from administrative costs). This bothers the practitioner who applies/


The Black- Scholes Model. Randomness matters in nonlinearity An call option with strike price of 10. Suppose the expected value of a stock at call option’s.

Discussion From the option framework, the equity price, as well as debt price, is determined by the volatility of individual assets. From CAPM framework, the equity price is determined by the part of volatility that co- vary with the market. The inconsistency of two approaches has not been resolved. Homework1 The stock price is $50. The strike price for a European call and put option on the/


Shawkat M. Hammoudeh * Lebow College of Business Drexel University Risks In Middle Eastern Stock Markets.

in a given GCC stock market should be hedged by a short position of $  t in another sector index in the same market. The  t is given by: where  t is the risk-minimizing hedge ratio for two sector indices I. Empirical Results: Volatilities Past own volatility and not past shock is the stronger driver in determining future volatility for the GCC frontier stock markets. Fundamentals matter more than/


K. Ensor, STAT 421 1 Spring 2004 Garch-m The process or return is dependent on the volatility , c are constants C is the “risk premium parameter”; c>0.

Spring 2004 S&P500 Index Square root Of volatility K. Ensor, STAT 421 5 Spring 2004 Summary Graphs K. Ensor, STAT 421 6 Spring 2004 Hong Kong stock market index return (bottom graph) and estimated volatility. K. Ensor, STAT 421 7 /12 Spring 2004 K. Ensor, STAT 421 13 Spring 2004 K. Ensor, STAT 421 14 Spring 2004 Japanese stock market index and volatility based on Gaussian GARCH(1,1) model K. Ensor, STAT 421 15 Spring 2004 -------------------------------------------------------------- Estimated Coefficients: /


ANTICIPATING CORRELATIONS Robert Engle Stern School of Business.

with Dynamic Conditional Correlation (DCC) Relate these correlations to the volatility of S&P500. Does High market volatility mean high correlation? RESULTS PLOT About 30 Correlations of these large cap stocks on left axis Estimated with DCC not using market data Compare with a GARCH of the S&P500 plotted on right axis S&P volatility Correlations MEAN CORRELATION AND MARKET VOLATILITY REGRESSION Dependent Variable: MEANCOR9F Method: Least Squares Date: 09/


Dissertation December 6 th 2001Side: 1 Introduction and Motivation for the dissertation Essays on Changing Volatility in Thinly Traded Equity Markets by.

th 2001Side: 42 Dissertation paper: A Random Walk/Brownian Motion application. Chapter 5. Stock return Volatility in thinly Traded Markets. An Empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded market(AFE, 2000, 10, pp.299-310) Dissertation December 6 th 2001Side: 43  Models of Changing Volatility across NST and CT series  Remedy non-linearity found in raw and adjusted asset/


Herding in Financial and Political Markets Khurshid Ahmad, Chair of Computer Science Trinity College, Dublin, IRELAND San Francisco, 8 November 2011.

implications for return data and found that: return dispersion and volatility dispersion are higher in high-tech industries. directional co-movement of stock prices as a modified herding measure to investigate herd behaviour for high-tech stocks. return and volatility dispersion were not found to exhibit a consistent relation with extreme market conditions in the Taiwan market. herding, measured by directional co-movement, is more prevalent in/


Russell Quarterly Economic and Market Review

information technology, telecommunications technology and electronics industries. Economic Indicators Dashboard definitions Market Indicators MARKET VOLATILITY(VIX) – CBOE VIX (Chicago Board Options Exchange Volatility Index) measures annualized implied volatility as conveyed by S&P 500 stock index option prices and is quoted in percentage points per annum. For instance, a VIX value of 15 represents an annualized implied volatility of 15% over the next 30 day period. The VIX measures/


Clicks & Mortar Keys to managing with success in Volatile Environments Presentation prepared for the New York University’s Stern School of Business by.

Latin America have suffered from the economic volatility of the region. Volatility in Latin America Businesses operating in Latin American Countries during the 90’s had to face volatile conditions.... Increased openness to global trade over time Financing of unsustainable fiscal imbalances issuing new money Financial sector crisis: weak links with world financial markets and poorly functioning domestic financial markets Fiscal policy fluctuations: expansion during booms and/


1 Effects of stock attributes, market structure, and tick size on the speed of spread and depth adjustment Kee H. Chung State University of New York (SUNY)

NYSE is faster than the speed of quote adjustment on NASDAQ. In both markets, quote adjustment speed is faster for stocks with a larger number of trades, higher share prices, greater return volatility, and smaller trade sizes. In both markets, quote adjustment speed is faster for stocks with a larger number of trades, higher share prices, greater return volatility, and smaller trade sizes. Stocks with greater information-based trading and/


FRM Zvi Wiener 02-588-3049 Introduction to Financial Markets.

on a non-dividend paying stock (or asset with no income) should never be exercised early. If the asset pays income, there is a possibility of early exercise, which increases with the size of the income payments. Zvi WienerIntroduction to Financial Markets slide 208 Options 102 Discrete time models will make a stochastic path into steps, thereby eliminating intraperiod volatility – this will ALWAYS make them/


Financial Markets By Huanli Li.

) quickly. Why Study Financial Markets? The Stock Market The next slide shows the level of the Dow Jones Industrial Average over the last 55 years. Note how volatile stock prices have been, especially over the last five years. In future chapters, we will examine the role of the stock market, as well as how prices react to information in the marketplace. Stock Market Why Study Financial Markets? The Stock Market Companies, not just individuals/


Report Card – Q1, 2010 Compliments of: Investment Planning Counsel,, Phone: Email: Website: www.ipcc.cawww.ipcc.ca Prepared for:, Date: Quarter Ending.

new monetary tightening cycle in the U.S.” – Picton Mahoney Asset Management “We highlight the potential for volatility during the remainder of 2010, as this will be a critical time for policy decisions.” – Mawer Investment Management Ltd. “We expect 2010 should deliver positive stock market returns by the time it is done, but there could be a few sharp swings along the way”. – Picton/


Business Analysis & Valuation Using Financial Statements Lecture Notes Professor David M. Chen Graduate Institute of Finance Palepu, Krishna G., Paul M.

asset-intensive firms in volatile markets. Warning signs: declining long-term asset turnover, return on assets lower than the cost of capital, write-downs by other firms, overpayment for or unsuccessful integration of key acquisitions. Understated depreciation/amortization on long-term assets Estimates of asset lives, salvage values, and amortization schedules. 摩爾定律 Heavy asset businesses: airlines, utilities, and semiconductor foundries. Case: Dot-com stock market crash in April/


Applications of news analytics in finance: a review Gautam Mitra Co-author Leela Mitra.

) Incorporating measures or observations of the market environment in risk estimation is important Applications: Risk management The risk structure of assets may change over time Patton and Verardo find news impacts beta of stocks and in particular most of beta increase comes from rising covariance, suggesting there is contagion in information content of news releases. Applications: Risk management Relationship between information release and volatility widely reported Ederington and/


Client Review. Agenda Follow-up From Last Meeting Financial Planning Check Up and Reconfirm Goals Global Market Review and Economic Outlook Your Portfolio.

equities. Mult-Asset Inflation was driven by central bank action. As global stock markets rallied on central-bank policy actions, the U.S. Managed Volatility and Global Managed Volatility Funds made meaningful contributions to the Strategy. Their focus on more stable areas of the economy reduced exposure to some of the equity market’s volatility. High Yield led all bond offerings and outpaced the Strategy’s overall return/


1 Some of the Best Estate Planning Ideas We See Out There (That Also Have the Merit of Playing Havoc With Certain “Conventional Wisdom”)

sometimes make that purchase (the so ‑ called “winged ‑ tip” strategy) when they are betting on market volatility. There are circumstances when neither strategy would work (because that stock is flat or the markets are flat). Even so, in most instances one of the GRATs will always work and the failure of the other will be costless (apart from administrative costs). This bothers the practitioner who applies/


Financial Markets and Institutions 6th Edition PowerPoint Slides for: By Jeff Madura Prepared by David R. Durst The University of Akron.

of Stock Risk n Market price volatility of stock l Indicates a range of possible returns l Positive and negative l Standard deviation measure of variability n Volatility of a stock portfolio depends upon: l Volatility of individual stocks in the portfolio l Correlation coefficients between stock returns l Proportion of total funds invested in each stock Copyright© 2002 Thomson Publishing. All rights reserved. Measures of Stock Risk n Beta of a stock l Measures sensitivity of stock’s returns to market/


The Impact of Uncertainty Shocks: Firm-Level Estimation and a 9/11 Simulation Nick Bloom (Stanford & NBER) April 2007.

, Wolfers and Zitewitz, 2006) Professional forecaster spread over GDP growth correlated 0.437 with stock market volatility (bi-annual, Livingstone) Cross-sectional industry TFP growth spread correlated 0.429 with stock market volatility (annual, NBER) Common factor of exchange rate, oil price and interest rate volatility correlated 0.423 with stock market vol. (monthly) Monthly stock market levels Note: S&P500 monthly index from 1986 to 1962. Real de-trended by deflating/


Client Review. Agenda Follow-up From Last Meeting Financial Planning Check Up and Reconfirm Goals Global Market Review and Economic Outlook Your Portfolio.

to measure the activity of the U.S. small-cap equity market. The S&P 500 Index is a capitalization-weighted index made up of 500 widely held large-cap U.S. stocks in the Industrials, Transportation, Utilities and Financials sectors. The VIX, or Chicago Board Options Exchange Volatility Index, uses option prices on the S&P 500 to estimate the implied volatility of the S&P/


1 Investment Objectives and Risks of Stock and Bond Funds Investor must clearly evaluate his/her own goals. What is the purpose of the investment? What.

dividends in dollars - investors are shielded form currency risk; US multinationals’ shares are traded on the US stock markets; performance closely follows the US market performance and not the foreign markets. 29 Types of Mutual Funds (Equity Fund Objectives) Fund Volatility: volatility depends on the mixture of foreign and US equities. As high as 75% of assets can be held in foreign equities. Depending on the mixture, the fund/


Equity markets Dr.Guru. Raghavan. Introduction “ It is usually agreed that casinos should, in public interest, be inaccessible and expensive. And perhaps.

meaning when applied to stock markets: a market’s volatility is the annualized standard deviation of daily percentage changes in a selected stock price index. A market’s volatility varies from time to time. The volatility of all major markets soared during the big stock price drops of Oct 1997 and Sep 1998. But some markets seem persistently less volatile than others. London has been the least volatile of the world’s main markets in recent years, and/


1 Chapter 5 - Market Mechanisms and Prices. 2 This Lecture Ü Diversification: principles of portfolio theory Ü Rational expectations and forms of “irrationality”

volatility of prices: Risk Premia and Spreads 78 Implied volatilities play an increasing role, not only in options markets but as general means of evaluating the riskiness of a company debt or even overall markets. One example is the VIX, the CBOE Volatility Index of implied volatility of options on the S&P 500. The implied volatility of/ of Expectations Stock Market Developments in Europe and the US Source: http://stockcharts.com 120 Stock market indices in Europe and the US: some observations Stock markets/


Integration of Center and Eastern European Stock Markets MSc student IOSIF ANAIDA Coordinator Professor Moisă Altăr The Academy of Economic Studies Doctoral.

Econometric Modeling”, Prentice Hall 18) Janakiramanan, S. and A.S. Lamba (1998), “An empirical examination of linkages between Pacific- Basin stock markets”, Journal of International Financial Markets, Institutions and Money, 8, 155-173 19) Miyakoshi, T. (2002), “Spillovers of stock return volatility to Asian equity markets from Japan and the US”, Journal of International Financial Markets, Institutions and Money, 13,383-399 20) Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset/


1 Dynamic Relations between Order Imbalance, Volatility and Return of Top Losers Dr. Yong-Chern Su, National Taiwan University, Taiwan Dr. Han-Ching Huang,

order. (b) The leverage effect: According to Christie (1982), a fall in stock price increases the degree of leverage in firm’s capital structure, thereby inducing an increase in stock volatility. One potential explanation for the negative OI-volatility relation of other 40% top losers: Since market makers also have the responsibility to control and maintain the stability of stock markets, high seller-initiated orders could be accompanied by small/


Revisiting the Reversal of Large Stock-Price Declines Harlan D. Platt.

 Platt theorizes that companies whose prices plunge in a single day are more volatile than an average stock  Platt uses 50,000 stocks in the 5-year price reversal portfolio comprising the 20 worst-performing stocks each day on the NYSE and Nasdaq It is assumed the portfolio of 20 stocks on each market is sold on the following trading day and replaced It is assumed the/


Authors: Ying-I Lee Advisor: Wen-Liang Hsieh, Ph. D. Date: 7, November, 2012 Informed trading in after-hours stock market trading.

) Numerous stock exchange all over the world open and close their derivate and spot markets at different times. The extended trading sessions of the derivate market that give the investors to adjust their position. Chang, Jain and Locke (1995) They examined that the trading pattern of the S&P500 index futures after the closing of the NYSE. Their results show that the overall volatility of the futures market is/


Academy of Economic Studies Doctoral School of Finance and Banking - DOFIN VOLATILITY AND LONG TERM RELATIONS IN EQUITY MARKETS : Empirical Evidence from.

model is used: l og r t 2 =a + b log h t 2 + u t l BET stock market forecasted volatility DAX stock market forecasted volatility WIG20 stock market forecasted volatility COINTEGRATION ANALYSIS Cointegration requires the variables to be integrated of the same order. Unit root tests are performed on each of the price index series in log first differences through the ADF test and the Phillips-Peron test: COINTEGRATION/


Dr. Scott Brown Stock Options. Introduction Along with time, volatility is what gives an option its extrinsic value. The higher the volatility of a stock,

known because it is trading in the market. In this case the Black-Scholes estimates what traders believe that the future volatility of the stock. This is called implied volatility. It’s the option seller’s forecasts of future volatility of the stock that determines the price of an option. Why You Need to Understand Volatility If you don’t understand the role of implied volatility, you can end up with unpleasant surprises/


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