fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical … suggest that all sectoral returns at ASE exhibit short memory. However, in the case of volatility measures, we found evidence … the presence of long memory, we tested the volatility measures for presence of structural breaks. We found that long …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest … of six main indexes from Bucharest Stock Exchange. The volatility transmission from Standard and Poor 500 to the Romanian … the volatility transmission intensity increased from the first to the second period …

and volatility of the stock prices. We split our samples of data in three sub-samples in order to capture the influence of …