"momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of … individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect, while stocks with … low realised volatility show strong momentum. A new approach, generalised risk-adjusted momentum (GRJMOM), is introduced …

relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile … cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …

bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand …

proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This … volatility transmission indirectly across markets …