growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

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 …

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 …

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

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 …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …