is correlated across countries with lower average stock market volatility, crises are more frequent in countries with …

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

reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …