various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …

volatility. Data were gathered over the 2008-2016 period with annual observations for 30 firms currently listed in Indonesian … volatility were added, they were found to be significantly associated with the first lag of oil prices. These findings provide …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …