effect of these bans on liquidity, returns, volatility and market efficiency comparing a sample of 23 financial stocks with a …, volatility and market efficiency between the two groups, testifying the inability of restrictions to achieve the purpose for …

. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …

The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the … volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and … scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

volatility of the affected stocks with nonparametric tests on individual stocks, difference-in-difference tests and other … significant reduction in turnover and volatility (measured in terms of stock price volatility and the high–low price range) and …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

. This aggressiveness in trading can increase stock price volatility under some conditions. Margin requirements limit agents …' ability to speculate, thus they tend to reduce the stock price volatility in general, especially when agents' beliefs are more … divergent. Furthermore, if the margins are binding, an increase in margins leads to a decrease in stock volatility in the case …