Excess volatility and stochastic approach of interest rates in stock market

KAMIL A. A., Kesuma Z. M.

Journal of Interdisciplinary Mathematics, cilt.10, sa.6, ss.801-821, 2007 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 6
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1080/09720502.2007.10700534
  • Dergi Adı: Journal of Interdisciplinary Mathematics
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.801-821
  • Anahtar Kelimeler: Accumulated values, ARIMA process, Efficient market hypothesis (EMH), Excess volatility, Interest rate, Non stationary time series, Present values, Stochastic approach
  • İstanbul Gelişim Üniversitesi Adresli: Hayır

Özet

The motivation for studying volatility in stock prices is to find out "what ultimately, is behind day to day movements in prices? The experience found evidence that stock prices appeared to be more volatile than fundamentals (i.e., dividends) could explain. In this study we will go through the debate on excess volatility of stock prices and analyze the econometric aspects of the techniques used in the literature. This paper also will examine, firstly formulation of accumulated values and present values with fixed interest rate and secondly formulation with stochastic approach, latter the result is compared. © Taru Publications.