This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

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 …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …