The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated … paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to … determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature …

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 …

return volatility. Besides, the increases in the STT rate have mixed effects on market efficiency, either improving or …

(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

-Carlo simulation, with the conditional volatility of underlying information modeled as stochastic volatility or realized volatility …

This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the … Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on … volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence …

We investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian … include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH and VAR … the other. Besides, our results indicate that contemporaneous and dynamic relationships between return volatility and …