Proceedings of the International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017

Stocks return volatility clustering in Russian market: preconditioms and interpretations

Authors
R. Artur Nagapetyan
Corresponding Author
R. Artur Nagapetyan
Available Online June 2017.
DOI
https://doi.org/10.2991/ttiess-17.2017.75How to use a DOI?
Keywords
micro-level volatility clustering, Efficient Market Hypothesis, volatility forecasting, arbitrage, diversity
Abstract
Current article's research question is posed as follows: Are the dynamics of unilateral assets of coefficients' sensitivity to market changes and its asymmetry significant factors in the context of interpreting stocks return volatility based on the volatility clustering phenomenon? The authors develop the definition of clustering stocks return volatility according to the description of the interrelations among this phenomenon, Efficient Market Hypotheses and the existing pricing models of financial assets. The relative inability of the market to ensure full and coordinated implementation of accumulated information in asset price is a precondition for the emergence of the clustering of stocks return volatility at the micro-level. Directions for improving assessment of financial assets volatility are demonstrated, and approaches to arbitrage strategies formation for increasing the efficiency of market information are suggested.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - R. Artur Nagapetyan
PY  - 2017/06
DA  - 2017/06
TI  - Stocks return volatility clustering in Russian market: preconditioms and interpretations
BT  - International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017
PB  - Atlantis Press
SN  - 2352-5428
UR  - https://doi.org/10.2991/ttiess-17.2017.75
DO  - https://doi.org/10.2991/ttiess-17.2017.75
ID  - Nagapetyan2017/06
ER  -