کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
973860 | 932879 | 2009 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
U.S. and Japanese macroeconomic news and stock market volatility in Asia-Pacific
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
I use a new comprehensive dataset to analyze the impact of ten U.S. and six Japanese macroeconomic announcements on stock market volatility in Japan, Hong Kong, South-Korea and Australia. A GARCH model that allows for multiplicative announcement effects and asymmetries is employed. Overnight conditional variances are significantly higher on announcement days and significantly lower on days before and after announcements, especially for U.S. news. The impact of announcements on implied volatilities, in contrast, is much weaker. Out-of-sample trading strategies that systematically buy delta-neutral straddles on announcement days generate statistically significant profits, but these disappear after transaction costs are taken into account.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 17, Issue 5, November 2009, Pages 611–627
Journal: Pacific-Basin Finance Journal - Volume 17, Issue 5, November 2009, Pages 611–627
نویسندگان
Evert B. Vrugt,