Giulio Giannetti

Qualifications

• BSc Business Economics - Universita' degli Studi di Napoli Federico II (2015)
• MSc Finance with Risk Management - University of Bath (2016)
• International Master in Financial Risk Management - MIP Politecnico di Milano (2018)           

Dynamics of the Volatility-Leverage Connection under Varying Market Conditions

I purport to investigate empirically the prospective connection between stock prices volatility and firms' corporate leverage. Firstly, I wish to shed light on the correlation between stock returns and volatility as the sign of such correlation is still controversial. Provided that there is a significant correlation between the first two moments of stock prices, I wish to dwell deeper by looking at the aforementioned correlation between volatility and corporate leverage under varying market conditions. 

To this effect, my model relies upon a set of state variables that permeate the macroeconomic research. The model investigates the effect of shocks on the relationship of interest (the correlation between the first two moments of stock prices) by means of impulse respose functions. The overriding intent is to test whether such relationship is guided by the market conditions. Moreover, the persistence of shocks to macroeconomic variables, and the resulting impact on stock prices, are object of study with the aim of examining whether this persistence is a function of the degree of corporate leverage.  

Supervisors

• Professor Anastasiya Shamshur 
• Professor Steve Wenbin Liu 
• Dr Chen Huang 

1st Supervisor's Research Group

Finance