return volatility among stocks favored by Robinhood investors, as proxied by Reddit WallStreetBets mentions. HFTs with …

stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic …

fragmentation on two types of investors optimization problems: “intermediary” high-frequency and “final” investors. Volatility has a …, and indirectly via total volatility. A shock in fragmentation may lead to a decrease in trading volume, enhanced in the … case of an equity markets crisis by a rise in the components of volatility …

objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …

demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market … participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and … crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes. …

Purpose - The purpose of this paper is to examine the volatility transmission between migration policy uncertainty …/methodology/approach - The author proxies volatility via EGARCH (1,1) for all series and employs Diebold-Yilmaz (2012) methodology to test the …, as well as the direction. Findings - Findings propose that volatility transmission is from migration index to stock …

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 …