This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted … derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure … of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality …

This paper examines the probable impact of volatility in stock markets of India and US on frontier markets of Africa … models are used for ascertaining the impact of returns and volatility in Indian and US stock markets on returns of frontier … returns. Results of regression indicates that U.S. equity market volatility did have a positively significant impact on Indian …

in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

This paper examines the regime shifts and stock market volatility in the stock market returns of seven emerging … asset class and each market should be independently evaluated in terms of its regime switching behavior, volatility …

can improve financial performance by increasing wealth generation and decreasing the volatility of listed financial assets … the share price volatility of companies traded in emerging markets. For this purpose, a sample of 346 companies listed in …

volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …

volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

affect local market volatility and, in rare instances, stock returns themselves. Negative news has a leverage effect for … emerging Eastern European stock markets, as greater volatility in the stock market is generated by negative news than by …