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." …

hand, the overall volatility of individual returns and market returns is higher …

show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …

volatility …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …