We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies …-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly … following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …

pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the … returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The … controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and …

, although this lack of market depth did reduce in severity for Turkey over the sample period, as liberalization of financial …

Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the … implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed … investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment …

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper …