4 resultados para Electoral volatility
em Brock University, Canada
Resumo:
Italy is currently experiencing profound political change. One aspect of this change involves the decline in electoral support for the Italian Christian Democratic Party (DC) and the Italian Communist Party (PCI), now the Democratic Party of the Left (PDS). Signs of the electoral decline of both parties began to appear in the late 1970s and early 1980s and accelerated in the late 1980s and early 1990s. The pr imar y purpos e of th is thes is is to expla i n the electoral decline of the DC and PCI/PDS in the last decade. The central question being addressed in this thesis is the following: What factors contributed to the decline in electoral support for the DC and PCI? In addition, the thesis attempts to better comprehend the change in magni tude and direction of the Italian party system. The thesis examines the central question within an analytical framework that consists of models explaining electoral change in advanced industrial democracies and in Italy. A review of the literature on electoral change in Italy reveals three basic models: structural (socioeconomic and demographic factors), subcultural (the decline of the Catholic and Communist subcultures), and pol i tical (factors such as party strategy, and the crisis and collapse of communism in iv Eastern Europe and the former soviet Union and the end to the Cold War). Significant structural changes have occurred in Italy, but they do not invariably hurt or benefit either party. The Catholic and Communist subcultures have declined in size and strength, but only gradually. More importantly, the study discovers that the decline of communism and party strategy adversely affected the electoral performances of the DC and PC!. The basic conclusion is that political factors primarily and directly contributed to the decline in electoral support for both parties, while societal factors (structural and subcultural changes) played a secondary and indirect role. While societal factors do not contribute directly to the decline in electoral support for both parties, they do provide the context within which both parties operated. In addition, the Italian party system is becoming more fragmented and traditional political parties are losing electoral support to new political movements, such as the Lega Nord (LN-Northern League) and the Rete (Network). The growing importance of the North-South and centre-periphery cleavages suggests that the Italian party system, which is traditionally based on religious and ideological cleavages, may be changing.
Resumo:
Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.
Resumo:
For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.
Resumo:
We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.