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Stephan Suess
Title
Dr.
Last Name
Suess
First name
Stephan
Email
stephan.suess@unisg.ch
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1 - 3 of 3
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PublicationAsymmetric Dependence Patterns in Financial Time SeriesThis paper proposes a new copula-based approach to test for asymmetries in the dependence structure of ¯nancial time series. Simply splitting observations into subsamples and comparing conditional correlations leads to spurious results due to the well-known conditioning bias. Our suggested framework is able to circumvent these problems. Applying our test to market data, we statistically con¯rm the widespread notion of signicant asymmetric dependence structures between daily changes of the VIX, VXN, VDAXnew, and VSTOXX volatility indices and their corresponding equity index returns. A maximum likelihood method is used to perform a likelihood ratio test between the ordinary t-copula and its asymmetric extension. To the best of our knowledge, our study is the ¯rst empirical implementation of the skewed t-copula to generate meta skewed student t-distributions. Its asymmetry leads to signi¯cant improvements in the description of the dependence structure between equity returns and implied volatility changes. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1310684Type: journal articleJournal: European Journal of FinanceVolume: 15Issue: 7-8
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PublicationDo Implied Volatilities Predict Stock Returns?Using a complete sample of US equity options, we find a positive, highly significant relation between stock returns and lagged implied volatilities. The results are robust after controlling for a number of factors such as firm size, market value, analyst recommendations and different levels of implied volatility. Lagged historical volatility is - in contrast to the corresponding implied volatility - not relevant for stock returns. We find considerable time variation in the relation between lagged implied volatility and stock returns. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1414851Type: journal articleJournal: Journal of Asset ManagementIssue: 10(4)
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PublicationCountry versus Sector Diversification after the Introduction of the EMUThe introduction of the European monetary union (EMU) led to a convergence of the participating countries in many ways. One particular aspect is the diversification potential among different financial markets. While during the 1990s country effects typically dominated industry effects in magnitude, more recent studies stress the importance of industry diversification when it comes to portfolio construction. We show the increasing correlations among countries' equity market returns and the contemporaneous decrease in sector correlations and confirm the growing importance of industry effects by applying a bootstrapping method. Supported by this finding we implement momentum strategies based on countries and industries, respectively, in order to compare their performance. Due to the better diversification potential, most of the sector models outperform the country frameworks on a risk adjusted basisType: working paper