Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices

GENERAL COMMENTARY article Front. Psychol., 12 September 2012Sec. Cognition Volume 3 - 2012 | https://doi.org/10.3389/fpsyg.2012.00344

This paper studied the effects of good and bad news on volatility in the Indian stock markets using asymmetricARCH models during the global financial crisis of 2008-09. The BSE500 stock index was used as a proxy to theIndian stock market to study the asymmetric volatility over 10 year’s period. Two commonly used asymmetricvolatility models i.e. EGARCH and TGARCH models were used. The BSE500 returns series found to react tothe good and bad news asymmetrically. The presence of the leverage effect would imply that the negativeinnovation (news) has a greater impact on volatility than a positive innovation (news). This stylized factindicates that the sign of the innovation has a significant influence on the volatility of returns and the arrival ofbad news in the market would result in the volatility to increase more than good news. Therefore, we concludethat, bad news in the Indian stock market increases volatility more than good news.

Disclosing Advisor's Interests Neither Hurts Nor Helps

This study aims to examine and find out the influence of related variables, namely evidence sequence (good news followed by bad news and bad news followed by good news) and information series (long and short information) on the self-review debiaser presentation pattern based on accounting information for investment decision making. The experimental design used in this study is a 2 x 2 mixed design factorial experimental design (between subject and within subject) that manipulates the independent variable evidence sequence (good news followed by bad news and bad news followed by good news) and information series (long and short) on the Self-review debiaser presentation pattern. Participants in this study were 124 S1 Accounting Students of STIE Perbanas Surabaya. This study used the normality test and the Mann Whitney Test. The overall results of the hypothesis are partially held. The results of this study indicate that the self-review debiaser presentation pattern is proven to reduce the effect of sequences on long information series. However, self-review debiaser presentation pattern has proven unable to reduce the effect of sequence or no order effet on short information series. JEL Classification: G32, G34, M41 DOI: https://doi.org/10.26905/jkdp.v24i3.4097

The MUM effect refers to the robust research finding that people are more hesitant to share bad news relative to good news. An experiment utilized a false feedback test design to determine whether the MUM effect stems from a reluctance to share bad news, an eagerness to share good news, or both. Participants ( N = 114) shared good, neutral, or bad news (i.e., high, medium, or low test scores) to a stranger. News valence, delay before response, and reluctance were measured. Delay before response and reluctance were linearly related to test score suggesting both eagerness to share good news and reluctance to share bad news. Practical and theoretical implications are discussed.

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Chapter 2 - Bad News, Good News – The demographics and genetic and environmental risk factors for Parkinson's disease

Keith DeRose's contextualism offers both good news and bad news for the skeptic.1 The good news is that when the skeptic utters the words, "I don't know anything about the external world, and neither do you," the skeptic is making a true claim. The bad news is that when the anti-skeptic utters the words, "I do know a great deal about the external world and so does almost everyone else," the anti-skeptic is making a true claim as well. Put somewhat differently: the claim the skeptic makes is irrelevant to the claim the anti-skeptic makes. Ernest Sosa2 offers both good news and bad news for Keith DeRose's contextualism. The good news is that the semantic thesis which DeRose offers about uses of the term 'knowledge' may be true. The bad news is that this semantic thesis is largely irrelevant to epistemological concerns. My own sympathies here lie very much with Ernest Sosa. Indeed, I believe that Sosa is extremely charitable in his description of the epistemological import of DeRose's contextualism. I will thus attempt to reinforce some of the points which Sosa has made, and argue for a somewhat less cautious thesis: First, I believe

The Corona Crisis led to a high drawdown in the stock markets in the whole world in March 2020. After that, infection rates, incidences, and dead people were published by many countries. Based on 11 stock price indices analyses according to volatility and correlation, we can conclude that only one event seems to be substantially affected by a Corona-related event not tied to specific countries. Therefore, in times of crisis, stock indices correlate highly positively. This leads us to a second step to our central research question: Do Corona dates significantly impact the stock price development? Therefore, we analyzed several events in Germany and the US with the event study approach. The main result is that only the March 2020 event significantly impacts the volatility and the returns. The following bad news but also the good news do not have any influence on the share prices and do not lead to abnormal returns. For example, the first approval of vaccinations had no apparent effect on the stock market, which was reflected in price movements comparable to those during the initial Lockdown.

How do policy and information shocks impact co-movements of China’s T-bond and stock markets?