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

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 … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …

volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a … synthesized by a dynamic trading strategy in a risk free asset and other securities. We contend that there is a crucial …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective … international macroeconomic risk sharing than is possible today. Retail institutions are described that might develop around such …