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Can Market Volume Help In Predicting Share Market Volatility? - Couverture souple

Hagba, Dorbor

 
9783844313284: Can Market Volume Help In Predicting Share Market Volatility?
Couverture souple
ISBN 10 : 3844313281 ISBN 13 : 9783844313284
Editeur : LAP LAMBERT Academic Publishing, 2011

Synopsis

This book explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris BrookThe volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activitys (1998).The results of this study project indicate that augmenting models of volatility with measures of lagged volume leads only to fairly small improvements in forecasting performance. The report also shows that the Johannesburg Stock Exchange is vulnerable to financial turmoil in other major markets.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This book explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris BrookThe volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activitys (1998).The results of this study project indicate that augmenting models of volatility with measures of lagged volume leads only to fairly small improvements in forecasting performance. The report also shows that the Johannesburg Stock Exchange is vulnerable to financial turmoil in other major markets.

Biographie de l'auteur

I was born on March 18,1971 and obtanied an BBA Degree (Cum Laude) in Accounting from the University of Liberia in 1999. I am currently serving as the Assistant Director of Finance Department at the Central Bank of liberia.I also hold an MBA Degree from the University of Stellenbosch Business School and is married with a son.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3844313281
ISBN 13 
9783844313284
Reliure
Broché
Nombre de pages
84
Coordonnées du fabricant
non disponible
Personne responsable
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