Errors in Short Run Forecasts Next-day Volatility of Equity Risk Premium in the UK and U.S. Market: Empirical Research before and after the Global Financial Crisis

Heryán, Tomáš

doi:10.1016/s2212-5671(14)00709-6

Cited by 3 publications

(2 citation statements)

References 13 publications

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“…However, in case of Poland treasury bills play no significant role currently. Yet, in such a case, it is also important to indicate whether the domestic financial system is market-based or bank-based (Demirguc-Kunt and Levine, 1999;Heryan, 2014;Heryan and Stavarek, 2010;Janc et al, 2013).…”

Section: Data Description and Methodologymentioning

confidence: 99%

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Drachal

2017

GBER

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Abstract:The leading Polish exporting firms were analysed in the context of a foreign exchange rate exposure. The exchange rates were selected on a criterion of the size of a trade with foreign partners. It could have been expected that for an exporter the stock return is positively linked with a change in a foreign exchange rate. The analysed sample consists of the data from the second half of 2004 to the beginning of 2015. It has been found that EUR, USD and CZK exchange rates have a negative impact, whereas GBP and RUB exchange rates have a positive impact.Keywords: currency risk; export; PLN currency; stock returns; foreign exchange rate exposure; fx exposure; Warsaw Stock Exchange; biggest Polish exporters; EUR; USD; CZK; GBP; RUB.Reference to this paper should be made as follows: Drachal, K. (2017) 'Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange', Global Business and Economics Review, Vol. 19, No. 1, pp.15-37. Biographical notes:Krzysztof Drachal is a mathematics graduate with a strong professional interest in (quantitative) finance and various other aspects of financial markets. He has published over 50 papers on economics, finance and mathematics. Most of his interest lay in stock exchanges, real estate markets, energy markets and commodities. Moreover, he is also engaged in various editorial and didactic activities.

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Section: Data Description and Methodologymentioning

confidence: 99%

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Drachal

2017

GBER

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“…More on GARCH models can be found for example in the book of Xekalaki and Degiannakis (2010) or Tsay (2010). In this paper, following the methods of Heryan (2014) and Sekuła (2011), the risk premium is substituted as the variable xt .…”

Section: It Is Said That the Variable Xt Followsmentioning

confidence: 99%

Analysis of a time-varying risk premium in the Visegrad Group

Drachal¹

2016

MEST Journal

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The risk premium for the Visegrad countries was analyzed. The period of the considerations is between 2005 and 2015. Daily, weekly and monthly data outcomes were compared. It was found that the outcomes are quite similar for all countries. Moreover, changing to weekly or monthly data does not incorporate significantly new knowledge. Generally, daily data remain the best one to analysis. The historical period from which the stock market returns are computed was narrowed to just one calendar year (i.e., 250 stock session days). As a result, it was obtained that the risk premium varies from-70% up to 115%, whereas the average measures vary between and 1.89% and-10.46%. Generally, a negativity of a risk premium was confirmed. But, on the other hand, no leverage effect was found. Nor the significant impact of the company size. The models were based on GARCH types, i.e. AR-GARCH and GARCH in mean models were evaluated. The methods were restricted to simple GARCH(1,1) in case of the variance equations.

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The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX

Dima,

Ioan

2025

Journal of International Financial Markets, Institutions and Mo

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Errors in Short Run Forecasts Next-day Volatility of Equity Risk Premium in the UK and U.S. Market: Empirical Research before and after the Global Financial Crisis

Cited by 3 publications

References 13 publications

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Analysis of a time-varying risk premium in the Visegrad Group

The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX

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