Dr. Akash Dania’s research papers on investing and portfolio management accepted for publication in International Journal of Bonds and Derivatives
Dr. Akash Dania, associate professor of finance and director of Graduate Business Programs at Alcorn State University’s School of Business, has his manuscript titled, “Impact of TED spread, bond spread, and implied volatility on stock market returns, oil prices, home prices and exchange rates,” was accepted for publication in the International Journal of Bonds and Derivatives.
Researchers and financial analysts have long been involved in their search for key indicators that may help in forecasting pricing behavior of key financial assets. Any ability to forecast pricing of financial assets in an ensuing uncertain economic environment will serve as an invaluable tool for investors and policy makers alike.
“The purpose of this paper is to advance overall understanding of dynamic linkages among investor sentiment-based counterparty risk measures and the returns, and returns volatility of a number of key financial assets such as the stock market returns, oil prices, home prices and the currency exchange rates,” said Dania.
This paper is novel in three ways. First, in its use of TED spread (the spread between LIBOR and Treasury bill), bond credit quality spread, and implied stock market volatility as proxy for investor sentiment based counterparty risk. Second, in providing empirical evidence for the usefulness of these investor sentiment based counterparty risk in dynamic forecasting of pricing behavior of stock market returns, oil prices, home prices, and exchange rates. Finally, in examining volatility spillover effect from investor sentiment based counterparty risk proxies to the returns volatility of stock market returns, oil prices, home prices, and exchange rates.
This paper is co-authored by Dr. D.K. Malhotra of Philadelphia University.
For further information on this research activity, please contact Dr. Akash Dania at [email protected] or (601) 304-4388.