VOLATILITY BEHAVIOR OF INDUSTRIAL STOCK PRICE INDICES

被引:12
|
作者
SCHWARTZ, RA [1 ]
ALTMAN, EI [1 ]
机构
[1] NYU,GRAD SCH BUSINESS ADM,NEW YORK,NY 10003
来源
JOURNAL OF FINANCE | 1973年 / 28卷 / 04期
关键词
D O I
10.2307/2978346
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:957 / 971
页数:15
相关论文
共 50 条
  • [1] Volatility Similarity of Industrial Stock Price Indices
    Gao, Quansheng
    Yan, Chao
    [J]. EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8, 2010, : 3936 - 3939
  • [2] Volatility patterns of industrial stock price indices in the Chinese stock market
    Lao, Lan-Jun
    [J]. ADVANCES IN MACHINE LEARNING AND CYBERNETICS, 2006, 3930 : 605 - 613
  • [3] Study on Chaotic Behavior of the Stock Price's Volatility
    Wang Yuling
    Wang Jing
    Si Fengshan
    [J]. 2013 THIRD INTERNATIONAL CONFERENCE ON INTELLIGENT SYSTEM DESIGN AND ENGINEERING APPLICATIONS (ISDEA), 2013, : 1323 - 1325
  • [4] Dividend policy and stock price volatility of industrial products firms in Malaysia
    Zainudin, Rozaimah
    Mahdzan, Nurul Shahnaz
    Yet, Chee Hong
    [J]. INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2018, 13 (01) : 203 - 217
  • [5] Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
    Gulisashvili, Archil
    Stein, Elias M.
    [J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2010, 61 (03): : 287 - 315
  • [6] Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
    Archil Gulisashvili
    Elias M. Stein
    [J]. Applied Mathematics and Optimization, 2010, 61 : 287 - 315
  • [7] Volatility and stock price indexes
    Clements, Kenneth W.
    Izan, H. Y.
    Lan, Yihui
    [J]. APPLIED ECONOMICS, 2013, 45 (22) : 3255 - 3262
  • [8] The relationship of price volatility between TSE and TAIFEX stock indices futures with different maturities
    Wang, Yung-Chang
    Ho, Wen-Rong
    [J]. AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2010, 4 (17): : 3785 - 3792
  • [9] Long-term Memory in Stock Price Volatility and Behavior of Investors
    Chu, Ying
    Xiong, Dechao
    [J]. PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON ENTERPRISE RISK MANAGEMENT 2008, 2008, : 320 - 322
  • [10] Day trading and stock price volatility
    Kyröläinen P.
    [J]. Journal of Economics and Finance, 2008, 32 (1) : 75 - 89