Trent University Graduate Thesis Collection

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tula:etd
Type
Collection
Language
eng
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1 item
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Copyright for all items in the Trent University Graduate Thesis Collection is held by the author, with all rights reserved, unless otherwise noted.
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The Effect of Listing a Stock on the S&P 500 Index on the Stock's Volatility

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Year: 2015, 2015
Member of: Trent University Graduate Thesis Collection
Name(s): Creator (cre): Williams, Bex Alborn, Thesis advisor (ths): Cater, Bruce, Thesis advisor (ths): Pollanen, Marco, Degree granting institution (dgg): Trent University
Abstract: <p>This paper investigates the effect of listing a stock on the S&P 500 Index on the stock's volatility, using various econometrics models: GARCH and EGARCH. The study mainly addresses three issues; firstly, it analyzes stock volatility in two sub-periods, secondly, it determines whether the announcement can account for the fluctuations in the price of the stock, and finally, it… more