. It seems that Egyptian market transmitted its volatility to the Moroccan and Jordanian markets. …

how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in …-sectional implications of multiple leverage cycles, including contagion, flight to collateral, and swings in the issuance volume of the …

and the postrecession outbreak period of December 2007 – July 2010. Substantial increase in SENSEX return volatility …. Also strong co-movements in returns and volatility are observed between the SENSEX and other major stock indexes during the …

to fundamentals. Second, we show that most of the difference in volatility can be accounted for by three characteristics …”) than those to developed countries, (ii) shocks are subject to contagion, and (iii) – the most important one – shocks to … country characteristics to determine which are most associated with capital flow volatility. Our results suggest that …

application to measure the contribution of contagion to the volatilities of exchange rates during the East Asian currency crisis …. The empirical results show evidence of significant contagion. The contribution of contagion is estimated at 9 per cent of … total volatility for the Thai baht and 46 per cent for the South Korean won. Indonesia is found to be the most affected in …

When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is … volatility of prices and returns. At the same time, the leverage has also got a role at both levels: the capital structure of the … firm and the investors’ strategy. We examine the return and volatility in relation to leverage by considering different …

We develop a general econometric model of currency crises and contagion that integrates a number of important features … find strong evidence of contagion, mostly from the Spanish peseta to the Portuguese escudo, and to some extent from the …