We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail … investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading … that is mainly due to the unexpected institutional trading. The price volatility-institutional trade relation differs for …

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …

factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility …

asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return … short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility … volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that …

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 …