Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …

linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation … these South Asian markets have positive autocorrelation. The equity markets of India, Pakistan, and Sri Lanka have some …) spillover effect on other markets in the sample. The stock markets of Bangladesh, India and Pakistan stock markets exhibit …

This paper examines the trading volume and return and volatility relationship on the Stock Exchange of Mauritius (SEM … trading volume and volatility has been found, therefore support of the Mixture-of-Distributions hypothesis and the Sequential …

The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …