higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock … price adjustment. However, the relations among liquidity, volatility and price movements appear to rely on how SEOs are …Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and …

demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude …, indicating that speculators may dominate arbitrageurs. While spreads have narrowed as the market has matured, liquidity and …

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an … affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration … from models of liquidity concentration and benchmark security information. After examining time series behavior of price …

prices and intrinsic values of companies that need to raise external capital because of insufficient internal liquidity. The …

Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility … Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility …

India's stock market returns using daily data. Our findings suggest that volatility persistence has been high; depreciation … of the rupee has increased volatility; and asymmetric volatility confirms that negative shocks generate more volatility … returns and less volatility. …

This paper investigates the behavior of stock returns and volatility in 10 emerging markets and compares them with … 1, 2002 to December 31, 2006. The ratios of mean return to volatility for emerging markets are found to be higher than … distributions are not normal and return volatility shows clustering. In most cases, GARCH (1, 1) specification is adequate to …

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is … provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using … intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United …

impacted the lead and volatility behavior of the futures market when the macroeconomic effects and some major economic events …. Third, we find evidence of an increase in the level of futures market volatility, implying that the quantity of information … market volatility. …