measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of … 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 …

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from … emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits … significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to … has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

We examine the effects of both equity market liberalization and capital account openness on real consumption growth … variability. We show that financial liberalization is mostly associated with lower consumption growth volatility. Our results are … robust, surviving controls for business-cycle effects, economic and financial development, the quality of institutions, and …

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." …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and … skewness of growth in the cross-section. The relation holds regardless of initial level of economic development and of … with recent theories of financial frictions. The positive relation between volatility and skewness in the cross-section is …