Mostrar el registro sencillo del ítem
Artículo
Volatility and stock market direction: a study on emerging markets.
dc.creator | Bellini, Marta Edith | es |
dc.creator | Torre Gallegos, Antonio de la | es |
dc.date.accessioned | 2018-11-16T09:57:01Z | |
dc.date.available | 2018-11-16T09:57:01Z | |
dc.date.issued | 2011-11 | |
dc.identifier.citation | Bellini, M.E. y Torre Gallegos, A.d.l. (2011). Volatility and stock market direction: a study on emerging markets.. Economics and Finance Review, 1 (9), 1-9. | |
dc.identifier.issn | 2047-0401 | es |
dc.identifier.uri | https://hdl.handle.net/11441/80277 | |
dc.description.abstract | Volatility indices, such VIX, can be used for determining stock market direction. In this paper, we analyze the relationship between changes in the VIX direction and changes in the turning point of S&P 500 and the MSCI Latin-America Emerging Market index, in order to see whether they anticipate the changes. Also, the volatility of emerging markets measured by standard deviation and their relationship with the stock market movements within this market are calculated, since the greater the value of the volatility, the greater the likelihood of a rise or fall. In order to locate the turning point and the upward and downward phases of the cycles, empirical methods are applied and are characterized by using a set of decision rules that reflect the practical experience gained by analysts. Our conclusions include: Turning points, or peaks and troughs, in the VIX are coincident with peaks and troughs in the opposite direction for the S&P 500 index and in emerging markets. | es |
dc.format | application/pdf | es |
dc.language.iso | eng | es |
dc.relation.ispartof | Economics and Finance Review, 1 (9), 1-9. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Stock Market | es |
dc.subject | Emerging Market | es |
dc.subject | Options | es |
dc.subject | Volatility | es |
dc.subject | Forecasting | es |
dc.subject | Market Movements | es |
dc.title | Volatility and stock market direction: a study on emerging markets. | es |
dc.type | info:eu-repo/semantics/article | es |
dcterms.identifier | https://ror.org/03yxnpp24 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones | es |
idus.format.extent | 9 | es |
dc.journaltitle | Economics and Finance Review | es |
dc.publication.volumen | 1 | es |
dc.publication.issue | 9 | es |
dc.publication.initialPage | 1 | es |
dc.publication.endPage | 9 | es |
Ficheros | Tamaño | Formato | Ver | Descripción |
---|---|---|---|---|
Volatility and stock market.pdf | 606.2Kb | [PDF] | Ver/ | |