Value-at-Risk under Lévy GARCH models: Evidence from global stock markets

Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed

doi:10.1016/j.intfin.2016.08.008

Cited by 36 publications

(20 citation statements)

References 63 publications

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“…The results of the study also demonstrate that there is a direct relation between stock returns and volatilities of the emerging and developed stock markets. These results are also consistent with previous research studies (Balsara et al, 2007;Kim et al, 2001;Lal, Mubeen, Hussain, & Zubair, 2016;Ribeiro et al, 2017;Slim et al, 2017;Trypsteen, 2017). Since the results indicate the mean reversion process in all the 12 emerging and developed markets, the returns of these markets revert back to their original past mean values after the certain time periods.…”

Section: Discussionsupporting

confidence: 92%

“…After a certain time period when the bad news passes, equity prices return into profit. The third important reason, which contributes to the development of the mean reversion process, is the attraction of low prices of equities, and investors willing to purchase stocks at lower prices for significant profits (Annaert & Hyfte, 2005;Hart, Lence, Hayes, & Jin, 2015;Slim, Koubaa, & BenSaïda, 2017;Trypsteen, 2017;Tsekrekos & Yannacopoulos, 2016).…”

Section: Distinction Between Mean Reversion and Random Walkmentioning

confidence: 99%

“…In the light of previous theories, several researchers have carried out their studies in order to understand the global financial markets turmoil of 2007-08. They have come to the conclusion that the financial policies were the major reason for that crash (Ahmad, Raheem Ahmed, Vveinhardt, & Streimikiene, 2016;İzgi & Duran, 2016;Neaime, 2015;Slim et al, 2017).…”

Section: Substantiation From the Literaturementioning

confidence: 99%

“…If the stock underperforms within a one-year time period and after one year it overperforms then this phenomenon is known as the long-term mean reversion. According to the previous literature, long-term mean reversion can be examined by using two different methods, termed as relative mean reversion and absolute mean reversion (Slim et al, 2017;Trypsteen, 2017).…”

Section: Substantiation From the Literaturementioning

confidence: 99%

“…On the basis of the above discussion and previous literature, it is evident that there is still an ongoing debate regarding the equity behaviour as to whether returns follow the mean reversion process or the random walk hypothesis. A few researchers have additionally concluded that the mean reversion process varies market-to-market and region-to-region, and the time factor is also a vital determinant while investigating the mean reversion phenomenon (Kuttu, 2017;Slim et al, 2017).…”

Section: Mean Reversion In Stock Pricesmentioning

confidence: 99%

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Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models

Ahmed

Vveinhardt

Štreimikienė

et al. 2018

Economic Research-Ekonomska Istraživanja

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The objective of this research is to examine and compare the mean reversion phenomenon in developed and emerging stock markets. An important aim is to measure and compare the speed of mean reversion and half-life of volatility shocks of emerging and developed markets. For this purpose, we have selected five developed and seven emerging markets, and used daily market indices for the period of 1 January 2000 to 30 June 2016. We employed autoregressive conditional heteroskedasticity -Lagrange multiplier (A.R.C.H.-L.M.), generalised autoregressive conditional heteroskedasticity (G.A.R.C.H.) (1, 1), and half-life volatility shock techniques to carry out this research. The results of the study confirmed the mean-reverting process in developed and emerging markets. The South Korean market has the slowest mean reversion, and thus has the highest comparative volatility over a longer period of time. However, the Pakistan stock exchange exhibited the fastest mean reverting process. It is also concluded that the relative volatilities are higher in emerging markets, whereas the comparative volatilities are higher in developed markets. Therefore, it is further concluded that the mean reversion process is much faster in emerging indices except the South Korean and Chinese markets. The study recommends that if investors want higher returns in a shorter period of time then they should invest in emerging markets.

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