Journal ArticleDOI
Volatility Shifts in Stock Market Returns : A Look at Emerging Markets
Dilbagh S Broca
- Vol. 19, Iss: 1, pp 47-54
TLDR
In this paper, Broca et al. examined the stability of the volatility or risk parameter using weekly market data over 1990-91 in respect of 17 emerging markets identified by the International Finance Corporation.Abstract:
The volatility or risk parameter, usually defined as the standard deviation of stock returns, forms the cornerstone of contemporary finance theories. Reliability of results obtained from various financial decision making models depends on the stability, finiteness, and accuracy of risk estimates. This paper by Broca examines the stability of this parameter using weekly market data over 1990-91 in respect of 17 emerging markets identified by the International Finance Corporation. Through an application of nonparametric test procedures, the study detects variance heterogeneity for 6 out of 17 markets. Though not pervasive, a review of major political-economic events over the sample period, with special reference to the Gulf crisis of August 1990, is attempted to partly validate empirical findings.read more
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Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
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A subordinated stochastic process model with finite variance for speculative prices
TL;DR: In this article, a general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences.
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Portfolio Selection: Efficient Diversification of Investments
TL;DR: In this paper, the authors apply modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors, such as hedge fund managers, hedge funds, and hedge funds.
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A Comparative Study of Tests for Homogeneity of Variances, with Applications to the Outer Continental Shelf Bidding Data
TL;DR: In this paper, Monte Carlo simulations of various symmetric and asymmetric distributions, for various sample sizes, reveal a few tests that are robust and have good power, and these tests are further compared using data from outer continental shelf bidding on oil and gas leases.