This paper analyzes the entire distribution of stock market returns/volatility in five emerging markets (ASEAN5) and … returns/volatility density of ASEAN5 markets. It also examined whether changes in CHI_EPU explain returns at higher or lower …-parametric conditional density estimation approach. The results indicate that CHI_EPU diminishes stock returns and augments volatility in …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

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

the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …

the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …

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 … paper finds that the volatility spillover across these two markets is bidirectional while there is single or insignificant …

volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an …