We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a … significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate … currencies provide a hedge against volatility shocks. Our main global FX volatility proxy accounts for more than 90% of the …

proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional …

In the aftermath of the financial crisis, market efficiency is being heavily criticized. However, the volatility …

the key findings is the relationship between innovation intensity (e.g. radical innovation) and the volatility of firm …

In this paper we study the volatility behaviour, the aggregation effects and we investigate the nature of shocks coming …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the ”rate of discounting volatility” and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …