This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly … specifically, a Vector Autoregression (VAR) model is estimated and Impulse Response analysis as well as Forecast Error Variance …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

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

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …