-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …

-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis … negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We …

volatility in the Thai stock market. The main findings are that trading volume plays a dominant role in the dynamic relationships …. Specifically, trading volume causes both return and return volatility when the US subprime crisis is taken into account. The …

This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of … the returns and also the linkages and causality between the spot and futures volatility by using various classes of the … distributions. The magnitude of the volatility in returns of the spot and the futures market are similar, and therefore there is no …