Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If...

This paper provides the first study of foreign investors' trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the structural conditional correlation (SCC) methodology to identify the...