Big players and the Russian rouble: explaining volatility dynamics

Managerial Finance - Tập 25 Số 1 - Trang 49-63 - 1999
JohnPaul Broussard1, RogerKoppl2
1School of Business, Finance Department, Business & Science Building, Rutgers, The State University of New Jersey
2Department of Economics and Finance, Fairleigh Dickinson University, Madison, New Jersey

Tóm tắt

Outlines previous research attempts to explain the behaviour of second moments of price and return distributions and theories of how Big Players (i.e. those with enough discretionary power to influence the market but little sensitivity to profit/loss consequences) affect the volatility and informational efficiency of markets. Contrasts the 1883‐1892 fluctuations in the exchange value of the Russian rouble under interventionist (i.e. big player) and non‐interventionist finance ministers; and analyses the statistics using GARCH techniques. Shows that under the Big Player, both unconditional variance and the persistence of conditional volatility increased. Suggests that policy regimes affect the degree of noise‐trader influence and calls for further research.

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Managerial Finance

Tập 25 Số 1

49-63

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