We use DCC-TGARCH-M to study asymmetries in the conditional variance in FTSE100 spot and futures returns before and after cost-reducing market microstructure changes on the London Stock Exchange and the London International Financial Futures Exchange. We find bidirectional causality-in-mean and...

Purpose The purpose of this paper is to re-examine the effectiveness of price limits on stock volatilities in China over a more recent time period spanning from 2007 to 2012. The motivation stems from the fact that very high stock market volatilities are observed in China and we are sceptical of...