In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

returns, volatility of returns, volume of trade or bid-ask spreads in the event window. This suggests one of five …

, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indexes of the emerging …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

market (EM) countries by testing volatility spillovers of asset returns using a BEKK GARCH (1,1) model. The author modifies … the classical BEKK GARCH model in order to study the dynamics and origins of volatility spillovers. The study's empirical … results are threefold. First, volatility spillovers between the foreign exchange and stock markets are significant in most EM …