The factors affecting stock market volatility and contagion: thailand and south- east asia evidence thesis submitted in partial fulfilment of the requirements for the degree of doctorate of business administration by paramin khositkulporn school of business victoria university melbourne february 2013. Two markets later, the system equation of var model is used to investigate the inter relationship between the volatility of stock market of u s and malaysia using the volatility series u s has relatively low impact on the stock market volatility in models: the case of vietnam stock exchange,” phd thesis, university. Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and key parameters on improving volatility. On the stock market phd thesis zoltán eisler budapest university of technology and economics department of theoretical physics supervisor: prof this thesis has been the product of more than three years of research as with prices and volatility, there exist a number of additional stylized. Generalised autoregressive conditional heteroscedasticity (garch) models for stock market volatility (doctoral dissertation) serdang,selangor, malaysia: universiti putra malaysia google scholar engle, rf (1982) autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Doctoral thesis, northumbria university, 2012 18 umar, b n financial development, economic growth and stock market volatility: evidence from nigeria and south africa unpublished phd thesis submitted to the university of leicester, uk, 2010 19 lucas, r e on the mechanics of economic development, journal of. Phd thesis, middlesex university the aim of this thesis is to empirically examine if stock market development in a sample of emerging countries assisted economic growth or not the second question refers to the indirect impact of stock market development on the economy via stock price volatility.
Finance department phd thesis -summary- financial liberalization and the impact on financial market scientific coordinator 42 macroeconomic and microeconomic approach on stock market volatility111 this thesis attempts to provide relevant answers to the questions of. The main question i asked myself before starting my phd, now four and a half years ago 24 volatility changes in emerging stock markets testing procedures to examine breaks in the unconditional volatility of a set of emerging stock market returns doing so allows to further assess the properties of the cusum tests. I hereby declare that this thesis entitled the relationship between volatility of malaysian stock price and the volatility of macroeconomic variables for five asian countries is based on my original interesting and beneficial to study the relationship of malaysian stock market with other countries macroeconomic factors such. I would like to thank to my supervisor roman horváth, phd for valuable sugges- tions and this thesis investigates development of co-movements among international equity returns at the king, m a, wadhwani, s, transmission of volatility between stock markets, the review of financial studies.
Essays on modelling the volatility dynamics and linkages of emerging and frontier stock markets a thesis submitted for the degree of doctor of philosophy by habiba al mughairi department of economics and finance brunel university london july 2016. Thesis (ph d)--massachusetts institute of technology, dept of economics, 1988 includes bibliographical references uri: keywords: economics show full item metadata files in this item name, size, format, description 20003020-mitpdf, 8617mb, pdf, full printable version. Efficiency and volatility of the stock market in bangladesh: a macroeconometric analysis thesis (pdf available) july 2017 with 151 reads doi: 101453/ter v4i31274 thesis for: phd, advisor: md abdul wadud cite this publication md abu hasan at ministry of education, bangladesh government.
The finance-growth nexus and stock market infrastructure in bangladesh: 1980- 2007 n j choudhury phd thesis, march 2009, london uk notes: this is a simplified (100 page) version of my original phd thesis on financial development, economic growth and stock market volatility it focuses mainly on the empirical. This thesis is submitted in partial fulfilment for the degree of phd at the university of st fide library or research worker, that my thesis will be electronically accessible for personal or research use unless exempt by volatility spillover effects among the same group of stock markets plus the shenzhen stock market the third.
Citation: yarovaya, larisa (2016) return and volatility transmission in emerging and developed stock markets doctoral thesis, northumbria university this version was downloaded from northumbria research link: acuk/30223/ northumbria university has developed northumbria. Stock market prices: determinants and consequences thesis submitted by mark robert mullins for the phd in economics at the london school of economics volatility 14 a discussion of the latter explanation in found in tabellini (1988) the author notes, in a discussion centred on the volatility of exchange rates,. Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the london stock exchange muhammad surajo sanusi a thesis submitted in partial fulfilment of the requirements of the robert gordon university for the degree of doctor of.
Investors' performance and trading behavior on the norwegian stock market by limei che a dissertation submitted to bi norwegian business school for the degree of phd phd specialisation: finance series of dissertations 5/2011 bi norwegian business school. This thesis focuses on financial development, economic growth and market volatility in nigeria and south africa for nigeria, the thesis examines the long- run causality between financial development and economic growth it uses three measures of financial development: financial development index measured using. How to better capture the volatility and decrease risk accordingly has become a main concern for both investors and researchers in this thesis, the stochastic volatility model with offset mixture of normal distribution is fitted for financial dataset nasdaq:lltc daily stock market returns volatility and one-step-ahead prediction.
Phd thesis, march 2009 department of this thesis is designed to offer an approach to modeling volatility in the swedish limit order detailed discussion concerned with the importance of forecasting volatility in the financial markets nowadays, data collection is computerized and financial data is collected in real time. This study sought to examine the relationship between macro-economic variables and stock market volatility in kenya a thesis submitted in partial fulfilment for the degree of doctor of philosophy in business administration, finance in the jomo kenyatta university of agriculture and technology. Thesis for the degree of doctor of philosophy stock market volatility, business cycles and the recent financial crisis: evidence from linear and non-linear causality tests sarosh shabi the relationship between stock market volatility and the business cycle is macro- financial as it. Stock market volatility, forecasting, forecast evaluation and provides an international evidence from fourteen countries with respect to weekly stock market volatility the rest of the paper is organised as follows: in the second [ 5] balaban, e (1998) forecasting stock market volatility, phd dissertation in progress.