Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these …, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the … risk analysis. For policy makers, our work highlights the developments of FX global volume, volatility, and illiquidity …

with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple … predictability hypothesis, suggesting that time-aggregation of dividends eliminates significant information …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

We estimate global return autocorrelation by using the quantile autocorrelation model and investigate its determinants … across 43 stock markets from 1980 to 2013. Although our results document a decline in autocorrelation across the entire … sample period for all countries, return autocorrelation is significantly larger in emerging markets than in developed markets …

listed in Hong Kong (southbound). There is a positive (negative) cross-sectional relationship between volatility of connected …