The Determinants of Asymmetric Volatility

By Guojun Wu. 2001

461 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f86f97f344045ea4f587284bbce805f29c271611

Citations in the corpus

• Asymmetric Responses to Earnings News: A Case for Ambiguity (2015, unknown): “sentiment, I reestimate Equation (2) and include the Baker and Wurgler (2006) index (BW_Index) measured in the month of the announcement and interact it with both Badnews and Goodnews.”
• What Do Management Earnings Forecasts Convey About the Macroeconomy (2013, unknown): “Research on “volatility feedback” (Black, 1976; Christie, 1982; Campbell and Hentschel, 1992; French et al., 1987; Wu, 2001) shows that overall stock market volatility is generally higher after stock prices fall than after they rise.”
• A behavioral explanation for the negative asymmetric return–volatility relation (2008, unknown): “Bekaert and Wu (2000) and Wu (2001) do examine asymmetry.”
• Leverage and Volatility Feedback Effects in High-Frequency Data (2006, unknown): “…feedback effect runs from volatility to prices, as opposed to the leverage effect which hinges on the reverse causal relationship.2 On comparing the magnitude of the two effects, Bekaert and Wu (2000) and Wu (2001) argue that the volatility feedback effect dominates the leverage effect empirically.”
• Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon (2006, unknown): “The asymmetric volatility phenomenon (AVP) refers to the stylized fact that negative return shocks tend to imply higher future volatility than do positive return shocks of the same magnitude (see, e.g., Wu (2001), Bekaert and Wu (2000)).”
• Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006, unknown): “Jones, Lamont and Lumsdaine (1998) detect an increase in the conditional bond market variance on days where 2 See, for instance, Kroner and Ng (1998), Errunza and Hung (1999), and Bekaert and Wu (2001).”
• Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries (2005, unknown): “The negative correlation between stock returns and volatility is a well established fact in empirical finance (see, e.g., Bekaert & Wu, 2000; Engle & Ng, 1993; Glosten, Jagannathan, & Runkle, 1993; Nelson, 1991; Wu, 2001; Zakoian, 1994 and references therein).”
• Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns (2012, unknown): “Pindyck (1984), French et al. (1987), Campbell and Hentschel (1992), Bekaert and Wu (2000), Wu (2001), and Veronesi (2004) further propose the existence of a volatility feedback effect, whereby high volatility is associated with a high risk premium and a low price.”
• Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (2006, unknown): “An extensive literature shows that the time series relation between market risk and return is ambiguous (see, in particular, French, Schwert, and Stambaugh (1987), Campbell and Hentschel (1992), and Wu (2001)).”
• The Impact of Trades on Daily Volatility (2006, unknown): “Wu (2001) develops a model of asymmetric volatility and estimates it at the weekly and monthly frequency to show that both leverage and volatility feedback are important.”
• Evolution of international stock and bond market integration: Influence of the European Monetary Union (2006, unknown): “6 See Wu (2001) and references therein for a survey of asymmetric volatilities in stock market studies and tests of the leverage and volatility feedback effects.”
• Multifrequency News and Stock Returns (2007, unknown): “The estimation of dividend news parameters from excess stock returns is consistent with much of the volatility feedback literature (e.g., CH; Wu, 2001).”
• GARCH Models (2010, unknown): “(1993), Nelson (1991), Wu (2001) and Zakoı̈an (1994).”
• Volatility puzzles: a simple framework for gauging return-volatility regressions (2006, unknown): “4Notice, that in the presence of stochastic volatility it is generally not possible to perfectly hedge contingent claims payoff, and options are therefore no longer redundant assets. and the risk-neutral distributions, see also Benzoni, 2001; Wu, 2001; Chernov, 2002; Pan, 2002).”
• SEC Regulation Fair Disclosure, Information, and the Cost of Capital (2007, unknown): “SIGNCAR is included due to evidence that volatility tends to be higher in down markets – e.g., Christie (1982) and Wu (2001).”
• Asymmetric stock market volatility and the cyclical behavior of expected returns (2007, unknown): “Wu (2001) , Bansal and Yaron (2004), and Tauchen (2005) reconsider this channel of fluctuating economic uncertainty.”