speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …

-ask spread and increased volatility, while it left transaction volumes and returns substantially unaffected. Results are broadly …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …