Cargando…

The predictive power of stock market’s expectations volatility: A financial synchronization phenomenon

We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market’s volatility indices’ predictive power on synchronizing global equity indices returns. We built the correlation network of 26 stoc...

Descripción completa

Detalles Bibliográficos
Autores principales:	Magner, Nicolás, Lavin, Jaime F., Valle, Mauricio, Hardy, Nicolás
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Public Library of Science 2021
Materias:	Research Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8136682/ https://www.ncbi.nlm.nih.gov/pubmed/34014976 http://dx.doi.org/10.1371/journal.pone.0250846

Ejemplares similares

Equity Market Description under High and Low Volatility Regimes Using Maximum Entropy Pairwise Distribution
por: Valle, Mauricio A., et al.
Publicado: (2021)

Forecasting Commodity Market Synchronization with Commodity Currencies: A Network-Based Approach
por: Magner, Nicolas S., et al.
Publicado: (2023)

Modelling stock market volatility.
Publicado: (1996)

Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets?
por: Hussain, Muntazir, et al.
Publicado: (2022)

Range-based volatility, expected stock returns, and the low volatility anomaly
por: Blau, Benjamin M., et al.
Publicado: (2017)

Liquidity and volatility commonality in the Canadian stock market
por: Gold, Nathan, et al.
Publicado: (2017)

Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises
por: Karanasos, M., et al.
Publicado: (2021)

Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
por: Korkusuz, Burak, et al.
Publicado: (2022)

Quantifying Stock Return Distributions in Financial Markets
por: Botta, Federico, et al.
Publicado: (2015)

Uncertainty index and stock volatility prediction: evidence from international markets
por: Gong, Xue, et al.
Publicado: (2022)

Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic
por: Vuong, Giang Thi Huong, et al.
Publicado: (2022)

Canadian stock market volatility under COVID-19
por: Xu, Dinghai
Publicado: (2022)

Stock market volatility and the COVID-19 reproductive number()
por: Díaz, Fernando, et al.
Publicado: (2022)

Economic Policy Uncertainty and Emerging Stock Market Volatility
por: Ghani, Maria, et al.
Publicado: (2023)

Quantifying the Relationship Between Financial News and the Stock Market
por: Alanyali, Merve, et al.
Publicado: (2013)

Financial price dynamics and phase transitions in the stock markets
por: Zhang, Ditian, et al.
Publicado: (2023)

The complex nature of financial market microstructure: the case of a stock market crash
por: Shi, Feng, et al.
Publicado: (2022)

COVID-19 and stock market volatility: An industry level analysis
por: Baek, Seungho, et al.
Publicado: (2020)

Testing volatility and relationship among BRICS stock market returns
por: Ganguly, Soumya, et al.
Publicado: (2022)

Trust and stock market volatility during the COVID-19 crisis
por: Engelhardt, Nils, et al.
Publicado: (2021)

Capesize markets behavior: Explaining volatility and expectations
por: Pelagidis, Theodore, et al.
Publicado: (2021)

Panamax markets behaviour: explaining volatility and expectations
por: Karaoulanis, Ioannis, et al.
Publicado: (2021)

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
por: Li, Yan, et al.
Publicado: (2020)

Financial Times Guide to How the Stock Market Really Works
por: Gough, Leo
Publicado: (2012)

The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
por: Bouri, Elie, et al.
Publicado: (2023)

Volatile markets made easy: trading stocks and options for increased profits
por: Cohen, Guy
Publicado: (2009)

Stock Market Volatility and Return Analysis: A Systematic Literature Review
por: Bhowmik, Roni, et al.
Publicado: (2020)

Does oil price uncertainty matter in stock market volatility forecasting?
por: Qin, Peng, et al.
Publicado: (2022)

Political uncertainty, COVID-19 pandemic and stock market volatility transmission
por: Apostolakis, George N., et al.
Publicado: (2021)

The impact of pandemic on dynamic volatility spillover network of international stock markets
por: Lan, Tingting, et al.
Publicado: (2023)

“Investor attention fluctuation and stock market volatility: Evidence from China”
por: Yang, Taiji, et al.
Publicado: (2023)

The Predictive Power of Financial Stress on the Financial Markets Dynamics: Hidden Markov Model
por: Soltani, Hayet, et al.
Publicado: (2022)

Cohesiveness in Financial News and its Relation to Market Volatility
por: Piškorec, Matija, et al.
Publicado: (2014)

COVID-19 and the United States financial markets’ volatility
por: Albulescu, Claudiu Tiberiu
Publicado: (2021)

Financial crisis, labor market frictions, and economic volatility
por: Lei, Wenni, et al.
Publicado: (2023)

Impact of Healthcare on Stock Market Volatility and Its Predictive Solution Using Improved Neural Network
por: Rouf, Nusrat, et al.
Publicado: (2022)

Financial market sentiment and stock return during the COVID-19 pandemic
por: Bai, Chenjiang, et al.
Publicado: (2023)

Expected Results from a Predictable Phenomenon: An Approach to Education in Times of Pandemics
por: Gemelli, Nicolás Alejandro, et al.
Publicado: (2020)

Market expectations, learning effect and the termination of employee stock ownership plan
por: Zhou, Hui
Publicado: (2023)

On the predictive power of CAPE or Shiller’s PE ratio: the case of the Greek stock market
por: Kenourgios, Dimitrios, et al.
Publicado: (2021)

Cannot write session to /tmp/vufind_sessions/sess_43mu1jdq5rto7rtuekoubk0e0a