Volatility

Critical evaluation of the impact of oil price volatility on the strategy of ROYAL SHELL OIL PLC. INTRODUCTION Royal Shell plc incorporates a group of global energy and petrochemical companies with its headquarters in The Hague, the Netherlands and its parent company is the Royal Dutch Shell plc, which is incorporated in England and Wales. Its current CEO is Ben van Beurden. Royal Shell Plc is chosen for this analysis because of its structured decision to balance growth with returns and its bold

This paper examines the relationship between stock returns and volatility using symmetric and asymmetric models of the GARCH family. For testing this relationship a time series sample of FTSE100 price index starting from 1st January 1988 to 31st December 2014 was taken. For calculating the excess returns on the stock index the risk free rate used is 3 months UKGBILL corresponding to the same time span. This sample was chosen based on the The summary statistics used which explains the statistical

A STUDY ON STOCK MARKET RETURN, VOLATILITY AND CORRELATION ANALYSIS AMONG INDIAN & ASIAN STOCK MARKETS Dr.M.Sumathy1 Associate professor, Department of commerce, Bharathiar University, Coimbatore-46, Tamil Nadu,India. B.Ramya2 M.Phil Research Scholar, Department of Commerce, Bharathiar University, Coimbatore-641046, Tamil Nadu, India. bramyaca@gmail.com ABSTRACT The stock market is witnessing keen activities and is gradually more gaining Importance. Post the1997 East Asian

A Study on S&P 500 Index Stock Return and Volatility using ARIMA and GARCH Modeling Kaiyuan Song, Di Wu Summary In this project we first checked consistency and seasonality of S&P500 index stock performance by splitting its recent twenty years historical data into ten two year data and built ARIMA and GARCH models for each sub-period. We found that the models are considerably consistent before 2007-2008 sub-period, and there exists some minor seasonality in several subperiods, but no particular

“Role of Political Factors in Determining Return Volatility: evidence from nonlinear panel data analysis” 1. Problem Background: Political factors and macroeconomic indicators have earned an ever-increasing academic and public attention in influencing the financial health of a country since last few decades. The stock market performance is not an exception. For instance, two major political events, the ‘9/11 attack on the USA’ of 2001 and the ‘Arab spring movement’ in 2011 had down-turned the stock

Derivatives and Volatility on Indian Stock Markets Snehal Bandivadekar and Saurabh Ghosh * Derivative products like futures and options on Indian stock markets have become important instruments of price discovery, portfolio diversification and risk hedging in recent times. This paper studies the impact of introduction of index futures on spot market volatility on both S&P CNX Nifty and BSE Sensex using ARCH/GARCH technique. The empirical analysis points towards a decline in spot market volatility after the

behaviours and asset allocation, the underlying security liquidity and volatility should be scrutinized. The third main strand of academic literature has revealed that the potential impacts of ETFs trading on underlying securities, and the markets as a whole, is of substantial interest to both investment professionals and financial academics. There is an extensive amount of research that emphasises the effects on liquidity, volatility and valuation. In fact, ETFs’ impact on the quality of underlying securities

rejected. In the Financial System stock market is very important Factor. In stock index future ,there is no significant volatility effect. A volatility index is for very short term volatility. 2.2 Volatility of Stock Market: There are two thought of Market Stock Volatility. One thought is that arbitrage or speculation, Stock Market improves the market efficiency and reduces volatility. Other thought Introduction of future Trading add both derivatives and stock market. There are proponents is “Market

dividend are often worth less because the dividend is priced into the option. VOLATILITY: Some would argue that volatility is the greatest factor in determining the price of an option in the marketplace. Realistically, all of the other factors, strike price, type, interest rates, dividend, are known, where volatility isn’t. Since options are derivatives, stocks and options are interconnected. For either investment, volatility is one of the most important elements to consider. As an option buyer, you

I got a lot out of all of the presentations this week (including my own), but the article that stuck with me the most was the one presented by Shawn (Identifying the Relationship between Trade and Exchange Rate Volatility) by Christian Broda and John Romalis. I particularly enjoyed his presentation and I thought it stood out due to the diverse views that elicited from the class. He effectively outlined the entire article by clearly establishing the keys questions the authors’ were attempting to address