reduce the return volatility of TASI. From the EGARCH-M models, it is reflected through the leverage effect that negative …

stock returns using data from two prominent national stock exchanges of India. We find that when the tax on equity … transactions increases from 0.1% to 0.125%, the quantity of traded shares (volume) decreases by more than twenty five percent …. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to …

volume, while a 17-base-point- reduction in the STT rate is associated with about a 89% increase in trading volume in the …

Capital market liberalization allows the access of foreign investors to Saudi stock market especially since 2005. The … volume of traded shares. This finding is corroborated by the absence of variance homoscedasticity using BF test. Also, the … less in the volume, but more expanded in the prices. …

the relation between all the variables. The mean, quantile (including median) and mode re-gression estimators are proposed … inhomogeneity. These include the computational inconveniences of the standard quantile and mode regression techniques. The proposed …This paper presents a regression procedure for inhomogeneous data characterized by varying variance, skewness and …

model introduced in Bell (2014) by allowing both the quantity and strike price to vary. I use the 5% quantile from the … portfolio distribution to measure riskiness and compare different put options. I report a so-called ‘quantile surface’ that … shows the quantile across different combinations of quantity and strike price. I find that it is possible to maximize the …

the parametric and nonparametric results of the least squares (mean), quantile (including median) and mode estimations …

2005. The relationship between excess returns, order flow, dividend yields and earning-price ratio was examined using GARCH … financial crises in October 1987 and in August 1998 as dummy variables in excess returns. These dummies found to have great … impact in excess returns and seemed to be very significant. The results of our analysis appear to be in contrast with the …