Bookcover of International Transmission of Volatility
Booktitle:

International Transmission of Volatility

From Mature Markets to Developing Markets

LAP LAMBERT Academic Publishing (2016-08-10 )

Books loader

Omni badge eligible for voucher
ISBN-13:

978-3-659-93666-1

ISBN-10:
3659936669
EAN:
9783659936661
Book language:
English
Blurb/Shorttext:
The study tries to examine the mature market’s (DAX, LSE, NIKKEI, NYSE, SSE) volatility transmission to developing market(s) (KSE). A ten year’s (2005-2015) daily, weekly and monthly index returns of these markets are investigated under this study on which three econometric tests i.e. ADF (unit root), Chow and GARCH model are run to explore and analyze the stationarity, structural breaks and volatility effect from mature markets to volatile market(s) respectively. Results were found to be significant for all the observations, hence showing a transfer of volatility from all the mature markets under study i.e. DAX, LSE, NIKKEI, NYSE and SEE, to the volatile market which in this case is KSE. All the tests are run in econometric software EViews where GARCH model is used as the basic tool for analysis with support of ADF (unit root) and Chow test.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Haider Zaman Khan
Number of pages:
52
Published on:
2016-08-10
Stock:
Available
Category:
Money, Bank, Stock exchange
Price:
35.90 €
Keywords:
developing markets, International, Karachi Stock Exchange, KSE, Mature Markets, Volatility

Books loader

Adyen::diners Adyen::jcb Adyen::discover Adyen::amex Adyen::mc Adyen::visa Adyen::cup Adyen::unionpay Adyen::paypal Paypal Wire Transfer

  0 products in the shopping cart
Edit cart
Loading frontend
LOADING