E-Book Overview
<EM>Up-to-Date Research Sheds New Light on This Area
Taking into account the ongoing worldwide financial crisis, <STRONG>Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies.
The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives.
Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.
E-Book Content
Stock Market
Volatility
CHAPMAN & HALL/CRC FINANCE SERIES
Series Editor
Michael K. Ong Stuart School of Business Illinois State of Technology Chicago, Illinois, U. S. A.
Aims and Scopes As the vast field of finance continues to rapidly expand, it becomes increasingly important to present the latest research and applications to academics, practitioners, and students in the field. An active and timely forum for both traditional and modern developments in the financial sector, this finance series aims to promote the whole spectrum of traditional and classic disciplines in banking and money, general finance and investments (economics, econometrics, corporate finance and valuation, treasury management, and asset and liability management), mergers and acquisitions, hinsurance, tax and accounting, and compliance and regulatory issues. The series also captures new and modern developments in risk management (market risk, credit risk, operational risk, capital attribution, and liquidity risk), behavioral finance, trading and financial markets innovations, financial engineering, alternative investments and the hedge funds industry, and financial crisis management. The series will consider a broad range of textbooks, reference works, and handbooks that appeal to academics, practitioners, and students. The inclusion of numerical code and concrete real-world case studies is highly encouraged.
Published Titles Introduction to Financial Models for Management and Planning, James R. Morris and John P. Daley Stock Market Volatility, Greg N. Gregoriou
Forthcoming Titles Decision Options: The Art and Science of Making Decisions, Gill Eapen Emerging Markets: Performance, Analysis, and Innovation, Greg N. Gregoriou Portfolio Optimization, Michael J. Best
Proposals for the series should be submitted to the series editor above or directly to: CRC Press, Taylor & Francis Group 4th, Floor, Albert House 1-4 Singer Street London EC2A 4BQ UK
CHAPMAN & HALL/CRC FINANCE SERIES
Stock Market
Volatility Edited by
Greg N. Gregoriou SUNY Plattsburgh, New York, U. S. A.
Chapman & Hall/CRC Taylor & Francis Group 6000 Broken Sound Parkway NW, Suite 300 Boca Raton, FL 33487-2742 © 2009 by Taylor & Francis Group, LLC Chapman & Hall/CRC is an imprint of Taylor & Francis Group, an Informa business No claim to original U.S. Government works Printed in the United States of America on acid-free paper 10