Sökning: "Stock volatility"

Visar resultat 1 - 5 av 330 uppsatser innehållade orden Stock volatility.

  1. 1. Högfrekvenshandels Inverkan på den Svenska Aktiemarknadens Volatilitet

    Kandidat-uppsats,

    Författare :Ludvig Streng; Eric Öjstrand; [2019-07-08]
    Nyckelord :High-frequency trading; HFT; volatility; liquidity; execution quota;

    Sammanfattning : The focus of this paper is to investigate whether or not high frequency trading affects market volatility. Research on the topic has not been conducted on the Swedish stock market which is the purpose of this thesis. Previous research has been conflicting over whether or not high frequency trading increases or decreases volatility. LÄS MER

  2. 2. Does ETF Ownership Increase Stock Volatility?

    Kandidat-uppsats,

    Författare :Daniel Bysted; John Lundkvist; [2019-07-05]
    Nyckelord :Exchange Traded Fund; Stock Volatility; EFT ownership; Arbitrage;

    Sammanfattning : Exchange Traded Funds (ETFs) are supposed to be priced equal to the net asset value of their underlying stocks, if not, opportunities of arbitrage occur and are quickly corrected by arbitrageurs. When a demand or liquidity shock hits the ETF market, the price of the underlying stocks are affected due to arbitrage trading. LÄS MER

  3. 3. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Peter Johansson; [2019-01-22]
    Nyckelord :Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Sammanfattning : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. LÄS MER

  4. 4. Valutasäkring : Hur valutasäkring ser ut på den svenska marknaden beroende av företagsstorlek och volatilitet av växelkurs

    Magister-uppsats, Karlstads universitet; Karlstads universitet

    Författare :Hanna Björk; Gustav Olsén; [2019]
    Nyckelord :valutarisk; valutasäkring; riskhantering; volatilitet; transaktionsexponering; omräkningsexponering; ekonomisk exponering; företagsstorlek;

    Sammanfattning : I en allt mer globaliserad värld där bolag tvingas expandera sina verksamheter utomlands för att behålla konkurrenskraft och marknadspositionering, har valutarisk fått en allt större inverkan på svenska företags resultat. Valutarisk uppstår vanligtvis genom antingen transaktioner i främmande valuta eller när utländska dotterbolag konsolideras med moderbolaget. LÄS MER

  5. 5. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER