Modelling the Assymetry of Stock Market Volatility
AbstractRecent studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude. This paper uses daily data from the Hong Kong Stock Exchange to illustrate the nature of stock market volatility. Regression-based tests for integration in variance are applied, providing contrasting results to the usual test based on the Wald statistic. A partially non-parametric model of the relationship between news and volatility is estimated and used in conjunction with tests for the sensitivity to both the size and sign of a shock as a metric to judge various candidate characterizations of the underlying data generating process.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 487.
Length: 22 pages
Date of creation: 1995
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- Olan Henry, 1998. "Modelling the asymmetry of stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 145-153.
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- O.T. Henry & S. Suardi, 2005. "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series 945, The University of Melbourne.
- Hyytinen, Ari, 1999. "Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry," Research Discussion Papers 19/1999, Bank of Finland.
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" The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market,"
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- Olan T. Henry & Michael McKenzie, 2003. "The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong," Department of Economics - Working Papers Series 869, The University of Melbourne.
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- Athanassiou, Emmanuel & Kollias, Christos & Syriopoulos, Theodore, 2006. "Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 411-424, December.
- Grier, K.B. & Henry, O.T. & Olekalns, N., 2001. "The Effects of Uncertainty on Macroeconomic Performance: The Importance of the Conditional Covariance Model," Department of Economics - Working Papers Series 818, The University of Melbourne.
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