volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to … incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take …

on the expected earnings shock and its volatility and establish some properties of investors' behavior on the stock price … and its volatility during a financial crisis and subsequent recovery. Thereafter, we develop properties to explain excess … volatility, short-term underreaction, long-term overreaction, and their magnitude effects during a normal financial situation as …

In this study, we investigated volatility transmission effects be-tween the US and six Asian markets — China, Hong Kong … market volatility using the volatility impulse response function (VIRF). Our empirical findings extend several recent reports …. First, the empirical results of this study show that the US and Asian stock markets are interrelated by their volatility …