the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean … of additional tariffs increased, the volatility of the Chinese soybean futures market declined; however, the volatility … volatility of the US soybean futures market. In addition, while the release of multiple tariff increases has had a short …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results …

volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature …, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the …

asymmetrical between market upturns and downturns and that stock returns exhibit positive autocorrelation at a low volatility level … and negative autocorrelation at a high volatility level. This finding is attributed to wealth-related variation in … investors' risk aversion level and to market segmentation in Chinese stock markets. In addition, we examine the impact of …

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

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility …