کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102850 | 1480091 | 2017 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The dynamic conditional relationship between stock market returns and implied volatility
ترجمه فارسی عنوان
رابطه تنگاتنگی بین بازده سهام و نوسانات احتمالی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 482, 15 September 2017, Pages 638-648
Journal: Physica A: Statistical Mechanics and its Applications - Volume 482, 15 September 2017, Pages 638-648
نویسندگان
Sung Y. Park, Doojin Ryu, Jeongseok Song,