In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset...

Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals gather information online before implementing their trading decisions. In periods of higher investor concern, online information seeking intensifies. By analysing Google search data...

This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between...

This paper investigates a variety of features exhibited by the amplitude of stock returns. Some of these "stylized facts" have already attracted a great deal of attention from researchers, while some others have been documented only recently. - Horizontal dependence of volatility: Volatility is...

This paper studies volatility characteristics of the Indian CNX midcap index and contrasts with the large cap Nifty. An EGARCH model is fitted to daily returns for 2010 and is subjected to an out-of-sample back test. The study finds differences in volatility behavior of the indices. The Midcap...

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...