, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

world and other sectors, depending on market states. On the other hand, oil market volatility (OVX) adversely affects all …Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … Dow Jones Islamic Market (DJIM) World and the ten major sectoral Islamic equity indices. We also look at whether the …

liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance …

call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the … intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call …. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is …

intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …