... with the time horizon, confidence level, and the underlying conditional distribution of returns (Baixauli and Alvarez, 2004). Hopper (1996) describes VaR as the product of the current stock price, the square root of the volatility, and the confidence factor. For a fixed time interval Δt=t...

...Khaled Hussainey; Le Khanh Ngoc Purpose The purpose of this paper is to investigate the effects of macroeconomic indicators (the interest rate and the industrial production) on Vietnamese stock prices. The paper examines how US macroeconomic indicators affect Vietnamese stock prices. Design...

...Charles K.D. Adjasi Purpose The purpose of this paper is to analyse the impact of macroeconomic uncertainty on stock‐price volatility in Ghana. Design/methodology/approach The method of analysis is in two stages. The first stage estimates univariate volatility models for each macroeconomic...

... of researchers world over. Sathya Swaroop Debasish can be contacted at: sathyaswaroop2000@yahoo.com © Emerald Group Publishing Limited 2009 Future markets Stock markets Stock prices India In Section 2, we present a brief theoretical background relating the introduction of futures...