This research seeks to determine whether the cross-country differences in return and volatility metrics in various … cross-group difference in daily and monthly returns. There is evidence of a considerable difference in volatility metrics …

This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India … volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of … unexpected shocks. The evidence suggests that both the returns and volatility linkages exist between the emerging Asia and the …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …