Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is …We assess the stock market volatility spillover between three closely related countries, United States, China and … volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry …

Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the … analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in … the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This …

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 …

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 …

returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric …-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

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 …