the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market … have additional effects on the volatility of stock returns for the majority of the Hang Seng Index component stocks. On the … other hand, over a longer horizon, an increase in volatility is observed despite a decline in trading volume. Our results …

daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market … have additional effects on the volatility of stock returns for the majority of the Hang Seng Index component stocks. On the … other hand, over a longer horizon, an increase in volatility is observed despite a decline in trading volume. Our results …

financial crisis in the USA and the other developed markets. The purpose of this paper is to put to test the government's claim … by exploring the level of integration between Russia and the USA and European equity markets. Design … data into three periods, i.e. pre crisis, during crisis and post crisis. Next the Multivariate GARCH-DCC model technique is …

volatility spillover is modeled through an asymmetric multivariate GARCH model. We find significant unidirectional shock and … volatility spillovers from the U.S. market to both the Japanese and the Asian emerging markets. It is also found that the … volatility spillovers between the U.S. market and the Asian markets are stronger and bidirectional during the Asian financial …

In this paper, we try to analyse the long-run relationship between the stock prices of emerging markets in the Europe … the USA over the period 1995-2008 using monthly data. We only find a long-run relationship between stock indices of Israel … and the USA. …

The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …