Interaction of volatility and autocorrelation: evidence from major stock exchanges

Article Abstract:

Heteroskedastic representations of six major foreign stock returns were created to determine if markets other than the US also experience the same inverse relationship between stock returns and volatility. The Exponential Autoregressive model with heteroskedastic errors was employed to analyze data from stock price indices from countries, including France, Germany, Japan, Canada, and the US. Results indicate that conditional variance in a nonlinear fashion can be attributed to first order correlations and that a inverse relationship exists between volatility and autocorrelations.

Securities & Commodities Exchanges, Stocks, Stock-exchange, Stock exchanges, Autocorrelation (Statistics)

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Big players and the Russian ruble: explaining volatility dynamics

Article Abstract:

A relationship was established between market volatility and the existence of a big player monetary official. A rise in volatility and volatility clustering results from the discretionary decisions of powerful actors who are insensitive to loss and profit. Persistence of conditional volatility as well as derangement of expectations also results from an increase in the influence of a big player monetary official. Such findings establishes the role of herding and contra-herding in volatility dynamics.

Miscellaneous Intermediation, Exchanges ex Securities & Commodities, Analysis, Exchanges, Foreign exchange, Russia, Ruble (Russia), Efficient market theory

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Price discovery in German stock and futures market

Article Abstract:

The notion that electronic trading systems are superior than the traditional open outcry method has been proven to be erroneous. Existing reports have come to the conclusion based on the understanding that the German futures market stock index (FDAX) processes data faster than the German stock index (DAX). In reality, it is not proven if the faster response of DAX stocks in the Frankfurt Stock Exchange can be related to its electronic nature.

Commodity Exchanges, Germany, Futures market, Futures markets, Technology application, Securities, Floor traders (Finance), Deutscher Aktienindex (Index)

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