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The returns, risk and liquidity relationship in high frequency trading : evidence from the Oslo stock market

Minh Thi Hong Dinh - In: Research in international business and finance 39 (2017), pp. 30-40

Persistent link: https://www.econbiz.de/10011876398

Cross-sectional volatility index as a proxy for the VIX in an Asian market

Fadzil, Futeri Jazeilya Md; O’Hara, John G.; Wing Lon Ng - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no...

Persistent link: https://www.econbiz.de/10011884520

The pricing of idiosyncratic risk : evidence from the implied volatility distribution

Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10009553644

A two-pass model study of the CAPM : evidence from the UK stock market

Hwang, Tienyu; Gao, Simon S.; Owen, Heather - In: Studies in economics and finance 29 (2012) 2, pp. 89-104

Persistent link: https://www.econbiz.de/10009559816

Idiosyncratic risk and expected returns in frontier markets : evidence from GCC

Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554

Persistent link: https://www.econbiz.de/10009623547

The dynamic relations between market returns and two types of risk with business cycles

Jiang, Xiaoquan; Lee, Bong-soo - In: The financial review : the official publication of the … 49 (2014) 3, pp. 593-618

Persistent link: https://www.econbiz.de/10010401371

Do firm characteristics matter for the dynamics of idiosyncratic risk?

Vozlyublennaia, Nadia - In: Journal of international financial markets, … 27 (2013), pp. 35-46

Persistent link: https://www.econbiz.de/10010411754

Do institutional ownership and innovation influence idiosyncratic risk?

Duppati, Geeta; Ploypailin Kijkasiwat; Hunjra, Ahmed Imran - In: Global finance journal 56 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014478947

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

Persistent link: https://www.econbiz.de/10012628441

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868