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 …

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

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

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

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their … comprehensive evidence on the volatility of investor returns using individual stocks, portfolios of stocks, and market indexes from … the U.S. and major international stock markets. Our main finding is that the volatility of investor returns is higher than …