The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric … evidence of volatility spillover is found for all stock markets but the Swedish one, where only weak evidence is found. News … impact surfaces show that, although statistically significant, the volatility spillovers are quantitatively small. The stock …

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

the stock market volatility is compared in both the Anglophone world and the Sinophone world. I find that the stock market … volatility and the number of publicly available global news stories are strongly linked to each other in both languages …. Contemporaneous correlations between news and volatility are positive and highly significant, and regressions tell us that the …

, liquidity, co-skewness, idiosyncratic volatility, and preference for lottery-like assets. …

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …