According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It … volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying … fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is …

ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

This paper examines the impact of globalization on the cost of equity capital. We argue that the cost of equity capital … decreases because of globalization for two important reasons. First, the expected return that investors require to invest in … prediction that globalization decreases the cost of capital, but the documented effects are lower than theory leads us to expect …