Treynor introduced the concept of the security market line, which defines the relationship between portfolio returns and market rates of returns, whereby the slope of the line measures the relative volatility between the portfolio and the market (as represented by beta).
The objective of this paper is to investigate the volatility spillovers between oil and stock markets in Europe.
The value-style of investments is looking a lot more attractive these days as the volatility gap between high flyers and value stocks grows wider.
Choi (2009), using the multivariables EGARCH model, measured the volatility spillover between the exchange and stock markets of New Zealand after the Asia financial crisis in 1997.
The packing rules were governed by the volatility distinction between THF and water, the dispersity of nanospheres, and other various forces, such as the capillary force.
For international portfolio managers and hedgers, the volatility transmission between the two financial markets may provide them benefit in predicting the behavior of one market by having the information of other market.
The difference in the relationship of stock and foreign exchange market in the selected sample would represent that the volatility spillover between the two markets is less effective in develop country as compared to an emerging economy.
Because of the unfavorable physicochemical properties of the reacting mixture separated (e.g., the fairly large volatility between the reactants and the existence of a consecutive side-reaction), the process represents a challenging problem for the reinforcement of internal heat integration.
He thought, in bigger and more mature countries, domestic factors influenced the financial markets more strongly than foreign factors; therefore, the influences of volatility between the stock market and the exchange market became faint to some extent.
The increasing interdependency has also increased the volatility transmission betweens stock and foreign exchange market that has increased the international portfolio risk that is faced by investors, which has further lead to decrease the returns of investors portfolios (Kanas 2000).
