Erscheinungsdatum: 10/2012, Medium: Taschenbuch, Einband: Kartoniert / Broschiert, Titel: Financial Crisis and Financial Market Volatility Spill-Over, Titelzusatz: An Indian Evidence, Autor: Saha, Soumya, Verlag: LAP Lambert Academic Publishing, Sprache: Englisch, Rubrik: Wirtschaft // Wirtschaftsratgeber, Seiten: 120, Informationen: Paperback, Gewicht: 195 gr, Verkäufer: averdo
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Financial Crisis and Financial Market Volatility Spill-Over ab 49 EURO An Indian Evidence
Liberalization, Privatization and Globalization gave India an embodiment of sustainable growth process. One manifestation of such growth can be found in the stock and Forex markets. It is likely that there exists a dynamic relationship between stock price and exchange rate. A glimpse of that dynamism was manifested during the Asian crisis of 1997-1998. Recent global financial turmoil gives enough evidence to revisit the issue extensively. This book tries to examine the causality in foreign exchange and stock markets in India. Furthermore, to help the government to manage the financial crisis as well the fund managers to realize the market mechanism deeply and at the same time help them in preparing their strategies for global investment, the volatility dynamics has been incorporated in this work. Thus, the book attempts to examine some empirical issues about volatility linkages between foreign exchange and stock market of India around the recent financial crisis of 2007-2008.
The current study revisits the Turkish crises in last two decades. Most crucial fact was found that the dynamic relationship between Turkish stock market and Turkish Foreign exchange markets exists. As an empirical part, the study analyzes this relationship and made use of one of most advanced applied econometric models in order determine this dynamic linkage. The study also brings focus to volatility contagion spillover effect around Turkish financial crisis in last two decades. In order to determine such dynamic relationship, the Multivariate GARCH model is used in the study. The Istanbul Stock exchange market (ISE), The American Dow Jones Index (Dow Jones) and Deutsche Borse Ag German Stock Index (DAX) used as stock markets and Turkish Lira-Dollar, Turkish Lira-Euro currency pairs were used as corresponding foreign exchange market The results justify that the dynamic relationship increases around the Turkish Financial crises and decreases before and after crises.
Price uncertainty of commodities has its effect on the profitability of the traders.Pepper is known for its price volatility and is among the highest in agricultural commodities. The period between April 1998 and 2003 had witnessed more price decreases on a monthly basis than price increases. The period between 2005 and 2014 experienced more price increase than decrease. The annual volatility of Pepper for the period from 2005-06 to 2013-14 varied between 15 % and 42 %. This high level of volatility seen in the price movement of pepper is a matter of concern for the farmers and traders. Though the futures market provides platform to mitigate the risk, it is essential for the parties of the trade to understand how prices are discovered in the futures market. Therefore any hedging trading strategies will not be effective unless the hedger relies on a well informed decision making process. It requires thorough conceptual knowledge in using appropriate models to predict the future price, volatility of the commodity and price discovery mechanism of the futures market. Hence the study focuses on "Price forecasting, Co-integration analysis and Volatility spill over of Pepper".
Given the popularity of investing in crude oil and gold in past few years, the theoretical and historical relationship between the two, and also their significance in the commodity markets, it is important to analyse their relationship in order to support market traders and policy makers in their decision making processes. This book examines the relationship between the gold price and crude oil price from the perspective of mean spill over and volatility linkage in order to interpret the dynamics of the two markets and forecast the volatility of crude oil and gold prices.