Search results for "volatility"
showing 10 items of 245 documents
Gestión eficiente de carteras: Modelo de Markowitz y el Ibex-35
2019
El objetivo de este trabajo es construir con el máximo detalle posible una frontera eficiente de acuerdo al modelo de Harry Markowitz, conocer con profundidad el modelo y comparar sus resultados con diversos índices bursátiles para analizar el efecto que tiene una diversificación eficiente sobre el rendimiento y el riesgo de una cartera. Para ello nos basaremos en datos históricos del IBEX-35 a los que aplicaremos el modelo con ayuda de distintos programas informáticos de optimización. Veremos cómo realmente sí que es posible crear carteras con menor volatilidad que los títulos que forman el mercado, como es posible que títulos con rendimientos esperados negativos formen parte de carteras e…
Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling
2020
Factor momentum produces robust average returns that exhibit a similar economic magnitude as documented for stock price momentum. To the extent that the PEAD factor captures mispricing, winner factors profit from being long on underpriced stocks and short on overpriced stocks. Oppositely, loser factors’ negative exposure to the PEAD factor suggests that loser factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility scaling increases both the economic magnitude and statistical significance of factor momentum. Factor momentum is not exposed to the same crashes as stock price momentum and could therefore serve as a hedge for stock…
Fiscal Policy Responsiveness, Persistence and Discretion
2008
This paper analyzes the different characteristics of fiscal policy using a two-step estimation procedure. First, we decompose both government spending and government revenue into three components: responsiveness, persistence and discretion. Second, we assess the determinants of these characteristics. Using data from 132 countries, our results show that fiscal policy is more persistent than responsive to economic conditions, which implies that the authorities may have less leeway in the short-run notably to curb spending behavior. In addition, countries characterized by greater fiscal persistence have less discretion and responsiveness. Finally, macroeconomic, institutional and geographic va…
Coordinates and Dynamics of the Relationships between Multinational Enterprises and Economic Development – A Theoretical Approach
2013
Abstract The paper aims to configure, based on the historical analyses of the theories regarding multinational enterprises and economic development (which, most of them, are unilateral, unidimensional and focused on just one theoretical background) a conceptual framework – subsumed to the idea of a matrix with variable architecture that integrates existing models – able to allow and favour the exhaustive and dynamic analysis of the relationships between multinational enterprises and economic development within the current and future spatial and temporal context – characterized by (enormous) complexity, turbulence and volatility.
Regional Powers as Leaders or Rambos? The Ambivalent Behaviour of Brazil and South Africa in Regional Economic Integration
2013
The behaviour of regional powers towards their own regions is often volatile in the developing world, which leads to unstable integration processes. This article argues that this volatility is due to limited intra-regional gains from regional integration in developing regions, which implies that the behaviour of regional powers is constrained by extra-regional economic interests. When regional integration is not in conflict with extra-regional interests, regional powers provide regional leadership. However, when extra-regional interests are in conflict with regional integration, regional powers become regional Rambos. This argument is illustrated with the two examples of Brazil's behaviour …
Bilateral De-Jure Exchange Rate Regimes and Foreign Direct Investment: A Gravity Analysis
2021
Abstract This paper introduces a novel dataset on bilateral de-jure exchange rate regimes. The new dataset accounts for the fact that officially pegging to one currency is uninformative about the exchange rate regime prevailing vis-a-vis other currencies, and it allows characterizing bilateral exchange rate regimes based on countries’ ex-ante announcements rather than ex-post observations. We use this data to estimate the effect of expected exchange rate volatility on foreign direct investment (FDI). Starting from a simple model that suggests that announced exchange rate stability enhances bilateral FDI flows, we provide empirical evidence that lends support to this claim: countries that ar…
The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries
2011
Working Paper Gate 09-34; International audience; This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2008, we find that lower exchange rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess credit. The results are economically and statistically significant, and robust.
Do Carbon Traders Behave as a Herd?
2017
Abstract This paper shows the existence of herding behavior in the European Carbon Futures Market and studies its possible causes and consequences. This market is characterized by leading the carbon price discovery process and by being highly dominated by professional traders. Both features make it an appropriate environment for the existence of herding. A patterns analysis indicates that the herding level increases in speculative periods, on those days on which the price and size clustering effect is stronger, and with the arrival of carbon-related news. Regarding possible market drivers, we find that herding behavior is positively related with the number of trades, the intraday volatility…
Noise traders and smart money: Evidence from online searches
2019
International audience; Traditional finance theory considers that the impact of noise traders' attention on asset prices is offset by attention from smart investors. This paper uses online search data to study the influence of noise traders and smart investors on stock returns and volatility. Adopting an original approach, we construct a proxy for smart investor attention based on investors' online search behavior provided by Wikipedia Page Traffic. We combine this new measure with a standard measure of noise traders' attention as proxied by Google Search Volume Index. We show for a sample of 87 French firms over the period 2008–2018 that only noise traders' attention influences stock retur…
Holidays, weekends and range-based volatility
2020
Abstract This study analyses the effect of non-trading periods on the forecasting ability of S&P500 index range-based volatility models. We find that volatility significantly diminishes on the first trading day after holidays and weekends, but not after long weekends. Our findings indicate that models that include autoregressive terms that interact with dummies that allow us to capture changes in volatility levels after interrupting periods provide greater explanatory power than simple autoregressive models. Therefore, the shorter the length of the non-trading periods between two trading days, the higher the overestimation of the volatility if this effect is not considered in volatility for…