average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its … then adopted to test for the persistence of volatility in stock market returns, as represented by stock market indices … conditional correlations and volatility spillover effects across these markets. Each model is used to calculate the conditional …

vary according to whether they are in low or high volatility regimes. …