In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

returns, volatility of returns, volume of trade or bid-ask spreads in the event window. This suggests one of five …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention … given to emerging markets that offer higher risk-adjusted returns relative to developed markets. However, despite the … growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by …

equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … returns. Second, target rate changes are more important than informal communication. Third, the occurrence of monetary policy … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … models to take into account different dynamics of equity excess returns between emerging and developed equity indices …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the …