reduced annualized volatility of NYSE returns by 90-173bps and increased asset values. Prior to clearing, shocks to overnight …

show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

Data show that better creditor protection is correlated across countries with lower average stock market volatility …