Role of high-frequency data, distribution assumption and trading volume in volatility forecasting in China stock market

QR Code

Role of high-frequency data, distribution assumption and trading volume in volatility forecasting in China stock market

Volatility forecasting has become a crucial process in risk management over recent decades. With the second largest stock market by market capitalization in 2019, China has gained increasing attention from recent research. This study aims at providing better volatility forecasts by investigating...

Full description

Bibliographic Details
Main Author:	Liu, Min
Format:	Thesis
Language:	English
Published:	2021
Subjects:	Stock price forecasting Options (Finance) Investment analysis
Online Access:	http://psasir.upm.edu.my/id/eprint/105534/ http://psasir.upm.edu.my/id/eprint/105534/1/SPE%202022%2030%20UPM%20IR.pdf

Similar Items

Performance of GARCH models in forecasting stock market volatility.
by: Choo, Wei Chong, et al.
Published: (1999)

Asymmetric effects of monetary policy over bull and bear stock market cycles in selected Asean countries
by: Zare, Roohollah
Published: (2014)

The relationship between trading volume and shares price volatility / Norliana Abdul Jalil
by: Abdul Jalil, Norliana
Published: (2018)

The Forecast Accuracy Of Second Board IPOs (1989 – 1994)
by: Tan, Bee Swan
Published: (1997)

The Accuracy of Profit Forecasts of the Malaysian KLSE Second Board Initial Public Offers
by: Cheng, Sim Meng
Published: (1997)

Forecasting Volatility and Analyzing the Features of Volatility by three different methods- empirical study based on SSE 50ETF
by: Zou, YuanFang
Published: (2019)

Time horizon volatility forecasting of Malaysian property stocks
by: Gooi, Leong Mow
Published: (2019)

Forecasting Oil price and Volatility
by: Yu, Man Tao
Published: (2009)

To What Extent Are the Reports of Stock Analysts Useful?
by: Ebinesan, Noel Artputhan
Published: (2007)

Stock price crash risk: evidence from China
by: Wang, Meng
Published: (2021)

The impact of bonus issue announcements on the stock prices and its volatility in Malaysia / Nor Diyani Adnan
by: Adnan, Nor Diyani
Published: (2007)

Trading volume and realized volatility forecasting: evidence from the China stock market
by: Liu, Min, et al.
Published: (2022)

Volatility Forecasting during Stock Disaster in China A-share Stock Market
by: BAO, JINGYI
Published: (2018)

Implied volatility forecasting in the options market: a survey
by: Mohamad, Azhar
Published: (2016)

Support vector regression with chaos-based firefly algorithm for stock market price forecasting
by: Kazem, A., et al.
Published: (2012)

Determinants of stock market return in Malaysia / Syaidatul Nadia Md Sukor
by: Md Sukor, Syaidatul Nadia
Published: (2014)

The international stock market interdependence between Malaysia, Singapore and Indonesia / Mohd Farhan Jafri
by: Jafri, Mohd Farhan
Published: (2009)

The relationship between portfolio diversification strategies and property companies stock price / Saifuliza Omar
by: Omar, Saifuliza
Published: (2007)

Analysis of market volatility via a dynamically purified option price process
by: Luong, C., et al.
Published: (2014)

Factors affecting the volatility of stock price in Malaysia / Laila Aliza M. Tajudeen
by: M. Tajudeen, Laila Aliza
Published: (2018)

Factors that affecting stock prices in Malaysia / Nor Sharmimiey Ahmad And Norazifah Aziz
by: Ahmad, Nor Sharmimiey, et al.
Published: (2014)

Effects of Malaysian employee stock option scheme on stock liquidity, productivity, and earnings management of listed firms
by: Katan, Maheran
Published: (2012)

Estimating volatility of stock index returns by using symmetric Garch models
by: Islam, Mohd Aminul
Published: (2013)

Internal and external factors influencing the stock prices in construction sector: A study between Malaysia, China and Japan. / Mohamad Hairul Rizuan Ramli
by: Ramli, Mohamad Hairul Rizuan
Published: (2018)

Factors affecting stock market performance in Malaysia (2008 – 2018) / Mohamad Faizul Afham Ibrahim
by: Ibrahim, Mohamad Faizul Afham
Published: (2020)

The macroeconomic variables influence movement of stock market (KLCI) / Noor Amira Arshad and Nurhaida Osman
by: Arshad, Noor Amira, et al.
Published: (2013)

The miracles impact of inflation rates on stock market returns volatility evidence from Asia: Developing countries Vs Developed countries / Aripuddin Bin Ambo
by: Ambo, Aripuddin
Published: (2012)

Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
by: Vun, Methew Kien Chung
Published: (2007)

A neural network approach to option pricing
by: Mostafa, Fahed, et al.
Published: (2008)

The effect of GST announcement on stock market volatility: evidence from intraday data
by: Haron, Razali, et al.
Published: (2019)

A study on the information transfer between stock market in South Asia (Thailand, Malaysia, Philippines) / Mohd Raqib Abu Bakar
by: Abu Bakar, Mohd Raqib
Published: (2009)

Determinants of stock market performance in Singapore / Intan Shahira Nasarudin
by: Nasarudin, Intan Shahira
Published: (2018)

The determinant of performance on stock market in Malaysia / Mohamad Hisyam Sa'at
by: Sa'at, Mohamad Hisyam
Published: (2018)

Performance of listed penny stocks in Bursa Malaysia / Noraishah Ismail
by: Ismail, Noraishah
Published: (2017)

Determinants of stock market performance in Malaysia: inflation rate, crude oil price, exchange rate, gross domestic product and money supply / Muhammad Haziq Kamarulzaman and Nurul Musfirah Zulkefli
by: Kamarulzaman, Muhammad Haziq, et al.
Published: (2019)

The effectiveness of price limit: evidence from the Shanghai Stock Exchange
by: Lin, Jing
Published: (2007)

Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
by: Habibullah, Muzafar Shah, et al.
Published: (1996)

Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2016)

Fuzzy time series and geometric brownian motion in forecasting stock prices in Bursa Malaysia / Nur Ezzati Dayana Mohd Ramli
by: Mohd Ramli, Nur Ezzati Dayana
Published: (2020)

The effects of macroeconomics variables on stock index: Kuala Lumpur Composite Index
by: Abu Zarim, Noraznida
Published: (2014)