Yang, Zhigang (2006) Assessing stock price volatility study of G-7 and West European markets with extreme measures. Masters thesis, Concordia University.
|PDF - Accepted Version|
An alternative approach to examine stock market volatility based on the percentages of extreme days, weeks, and months out of a year period is applied to the G-7 group of seven countries and three other western European countries. Compared with the traditional standard deviation method, we find a similar volatility pattern for both measures. 1n addition, the extreme measure has three benefits: dividing volatility into positive and negative parts; classifying volatility as different levels and allowing researchers evidently to recognize the length of the volatile period for each level during a specified period; and having flexibility to self define extreme measures depending on various research requirements. When we apply the extreme-day measure to examine investor behaviors in Canada, the U.S. and the U.K., we find that the extreme-day measure more efficiently explains Canadian investor behavior than the standard deviation does.
|Divisions:||Concordia University > John Molson School of Business|
|Item Type:||Thesis (Masters)|
|Pagination:||iii, 84 leaves : ill. ; 29 cm.|
|Degree Name:||M. Sc. Admin.|
|Program:||John Molson School of Business|
|Thesis Supervisor(s):||Switzer, Lorne|
|Deposited By:||Concordia University Libraries|
|Deposited On:||18 Aug 2011 14:43|
|Last Modified:||18 Aug 2011 14:56|
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