This paper investigates the existence of financial contagion between the US and 10 European stock markets. Using intraday minute per minute data of a large set of 374 equities from three different industries over the period from January to June 2011 we investigate the impact of increased...

This paper investigates the existence of financial contagion between the US and ten European stock markets. Using intraday minute-per-minute data of a large set of 374 equities from three different industries, over the period from January to June 2011, we investigate the impact of increased...

This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010 we examine the relation between different...