Explaining Asymmetric Volatility around the World

Tõnn Talpsepp, M. Rieger
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引用次数: 43

Abstract

Based on the APARCH model and two outlier detection methods, we compute reliable time series of volatility asymmetry for 49 countries with relatively few observations. Results show a steady increase in the asymmetry over the years for most countries. We find that economic development and market capitalization/GDP are the most important factors that increase volatility asymmetry. We also find that higher participation of private investors and coverage by financial analysts increase the asymmetry, suggesting investor sentiment as a driving force. Leverage and feasibility of short selling increase volatility in falling market conditions, although only to a smaller extent.
解释全球不对称波动
基于APARCH模型和两种异常值检测方法,我们计算了49个国家相对较少观测值的波动不对称时间序列。结果显示,多年来,大多数国家的不对称性稳步增加。我们发现,经济发展和市值/GDP是增加波动性不对称的最重要因素。我们还发现,私人投资者的高参与度和金融分析师的报道增加了这种不对称,表明投资者情绪是一种驱动力。在下跌的市场条件下,杠杆和卖空的可行性增加了波动性,尽管程度较小。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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