indices around the world and find that such results are similar to other low capitalization and trading volume markets. For …

studies on cross-sectional risk pricing …

exchange trading volume, exchange rate volatility and predictability, as well as the degree of violation of the relative …

volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility … radical decline occurred for the day of the week effects in volatility. In the case of indexes from the emerging markets, the …

International capital markets tend to be characterized by volatility, which is always a function of world economic and … political environment and is frequently associated with contagion risk and increased cross-market linkages. This phenomenon … Exchange was different during the crisis and after the crisis and how the volatility of the Romanian market changed in the post …

that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That … concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This … GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting …

to expected components. Our results are robust to different proxies for volatility risk, and extend to other cross …We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a … significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate …

mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results … indicated that both the Badla mechanism and the introduction of SSFs seem to have contributed to the higher volatility of the …