Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …

Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial … volatility. Against this background, this paper investigates the volatility of returns on the Zimbabwean stock market between … January 2020 and January 2022. We use the All Shares Index for Zimbabwe Stock Exchange (ZSE) for volatility analysis and …

This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects … from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional … compared to the results in other international equity markets: positive shocks increase volatility by more than negative shocks …